Alexander Novikov is a professor

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at the Department of Mathematical Sciences,

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. Prior to this current appointment in 1999 he was Leading

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at the

Steklov Mathematical Institute Steklov Institute of Mathematics or Steklov Mathematical Institute (russian: Математический институт имени В.А.Стеклова) is a premier research institute based in Moscow, specialized in mathematics, and a part ...

(

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, since 1970) and Senior Lecture at the University of Newcastle ( Australia, from 1996 to 1999). Alexander was born in the

Soviet Union The Soviet Union,. officially the Union of Soviet Socialist Republics. (USSR),. was a List of former transcontinental countries#Since 1700, transcontinental country that spanned much of Eurasia from 1922 to 1991. A flagship communist state, ...

, and currently lives in Australia. His research interest includes

stochastic processes In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that a ...

, statistics of random processes,

sequential analysis In statistics, sequential analysis or sequential hypothesis testing is statistical analysis where the sample size is not fixed in advance. Instead data are evaluated as they are collected, and further sampling is stopped in accordance with a p ...

random fields In physics and mathematics, a random field is a random function over an arbitrary domain (usually a multi-dimensional space such as \mathbb^n). That is, it is a function f(x) that takes on a random value at each point x \in \mathbb^n(or some other ...

, and

mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that requir ...

. He is the author of

Novikov's condition In probability theory, Novikov's condition is the sufficient condition for a stochastic process which takes the form of the Radon–Nikodym derivative in Girsanov's theorem to be a martingale. If satisfied together with other conditions, Girsanov ...

. He received a

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in Mathematics in 1972 and his

Doctor of Science Doctor of Science ( la, links=no, Scientiae Doctor), usually abbreviated Sc.D., D.Sc., S.D., or D.S., is an academic research degree awarded in a number of countries throughout the world. In some countries, "Doctor of Science" is the degree used f ...

degree in 1982, both from the Steklov Mathematical Institute, with his thesis supervised by

Albert Shiryaev Albert Nikolayevich Shiryaev (russian: Альбе́рт Никола́евич Ширя́ев; born October 12, 1934) is a Soviet and Russian mathematician. He is known for his work in probability theory, statistics and financial mathematics. ...

. He has published more than 90 research papers.

References

{{DEFAULTSORT:Novikov, Alexander Living people Soviet mathematicians Year of birth missing (living people)