Publications

2012
Chigansky, P., & Klebaner, F. C. . (2012). The Euler-Maruyama approximation for the absorption time of the CEV diffusion. Discrete Contin. Dyn. Syst. Ser. B, 17, 1455–1471. doi:10.3934/dcdsb.2012.17.1455 Publisher's Version
Chigansky, P., & Kutoyants, Y. A. . (2012). On nonlinear TAR processes and threshold estimation. Math. Methods Statist., 21, 142–152. doi:10.3103/S1066530712020056 Publisher's Version
2011
Chigansky, P., & Ritov, Y. . (2011). On the Viterbi process with continuous state space. Bernoulli, 17, 609–627. doi:10.3150/10-BEJ294 Publisher's Version
Chigansky, P., Liptser, R., & Van Handel, R. . (2011). Intrinsic methods in filter stability. In The Oxford handbook of nonlinear filtering (pp. 319–351). Oxford Univ. Press, Oxford.
2010
Chigansky, P., & van Handel, R. . (2010). A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains. Ann. Appl. Probab., 20, 2318–2345. doi:10.1214/10-AAP688 Publisher's Version
2009
Chigansky, P. . (2009). Maximum likelihood estimator for hidden Markov models in continuous time. Stat. Inference Stoch. Process., 12, 139–163. doi:10.1007/s11203-008-9025-4 Publisher's Version
Liptser, R. S., & Chiganski\uı, P. . (2009). Moderate deviations for a diffusion-type process in a random environment. Teor. Veroyatn. Primen., 54, 39–62. doi:10.1137/S0040585X97983973 Publisher's Version
Fainshil, L., Margaliot, M., & Chigansky, P. . (2009). On the stability of positive linear switched systems under arbitrary switching laws. IEEE Trans. Automat. Control, 54, 897–899. doi:10.1109/TAC.2008.2010974 Publisher's Version
2008
Chigansky, P., & Klebaner, F. C. . (2008). Distribution of the Brownian motion on its way to hitting zero. Electron. Commun. Probab., 13, 641–648. doi:10.1214/ECP.v13-1432 Publisher's Version
2007
Chigansky, P., & Liptser, R. . (2007). The Freidlin-Wentzell LDP with rapidly growing coefficients. In Stochastic differential equations: theory and applications (Vol. 2, pp. 197–219). World Sci. Publ., Hackensack, NJ. doi:10.1142/9789812770639_0007 Publisher's Version
Chigansky, P., & van Handel, R. . (2007). Model robustness of finite state nonlinear filtering over the infinite time horizon. Ann. Appl. Probab., 17, 688–715. doi:10.1214/105051606000000871 Publisher's Version
2006
Chigansky, P., & Liptser, R. . (2006). On a role of predictor in the filtering stability. Electron. Comm. Probab., 11, 129–140. doi:10.1214/ECP.v11-1205 Publisher's Version
Chigansky, P. . (2006). Stability of the nonlinear filter for slowly switching Markov chains. Stochastic Process. Appl., 116, 1185–1194. doi:10.1016/j.spa.2006.02.007 Publisher's Version
Chigansky, P. . (2006). An ergodic theorem for filtering with applications to stability. Systems Control Lett., 55, 908–917. doi:10.1016/j.sysconle.2006.06.001 Publisher's Version
Chigansky, P. . (2006). On filtering of Markov chains in strong noise. IEEE Trans. Inform. Theory, 52, 4267–4272. doi:10.1109/TIT.2006.880042 Publisher's Version
2004
Baxendale, P., Chigansky, P., & Liptser, R. . (2004). Asymptotic stability of the Wonham filter: ergodic and nonergodic signals. SIAM J. Control Optim., 43, 643–669. doi:10.1137/S0363012902416924 Publisher's Version
Chigansky, P., & Liptser, R. . (2004). Stability of nonlinear filters in nonmixing case. Ann. Appl. Probab., 14, 2038–2056. doi:10.1214/105051604000000873 Publisher's Version
2001
Chigansky, P., Liptser, R., & Bobrovsky, B. Z. . (2001). A simple asymptotically optimal filter over an infinite horizon. In J. Appl. Math. Stochastic Anal. (Vol. 14, pp. 93–112). doi:10.1155/S1048953301000089 Publisher's Version
1998
Liptser, R., & Chigansky, P. . (1998). Filtering with a limiter (improved performance). J. Appl. Math. Stochastic Anal., 11, 289–300. doi:10.1155/S1048953398000240 Publisher's Version