Journals

  1. R. Liptser and P. Chigansky, Filtering with a limiter, JAMSA 11 (1998) no. 3 pp. 289-300
  2. P. Chigansky, R. Liptser, BZ. Bobrovsky, A simple asymptotically optimal filter over the infinite horizon, JAMSA 14 (2001) no.1 pp. 93-112
  3. P. Baxendale, P. Chigansky, R. Liptser, Asymptotic stability of the Wonham filter: ergodic and nonergodic signals, SICON  43 (2004) no. 2 pp. 643-669 (arXiv) 
  4. P. Chigansky, R. Liptser, Stability of nonlinear filters in non-mixing case, AoAP   14 (2004) no. 4 pp 2038-2056 (arXiv) 
  5. P. Chigansky, An ergodic theorem for filtering with applications to stability, SCL  55 (2006) no. 11 pp 908-917 (arXiv)
  6. P. Chigansky, Stability of the nonlinear filter for slowly switching Markov chains, SPA 116 (2006) no. 8 pp. 1185-1194  (arXiv)
  7. P. Chigansky, R. Liptser,  On a role of predictor in the filtering stability,ECP 11 (2006) pp. 129-140 (arXiv)
  8. P. Chigansky, On filtering of Markov chains in strong noise, IT IEEE 52 (2006) no. 9  pp. 4267- 4272 (arXiv)
  9. P. Chigansky, R.van Handel, Model robustness of finite state nonlinear filtering over the infinite time horizon, AoAP 17 (2007) no. 2 pp. 688-715 (arXiv)
  10. P. Chigansky, Maximum likelihood estimator for Hidden Markov Models in continuous time, SISP 12 (2009) no. 2, pp. 139-163 (arXiv)
  11. P. Chigansky, R. Liptser, Moderate deviations for a diffusion-type process in a random environment, TVP 54 (2010) no. 1 pp. 29-50 (arXiv)
  12. L. Fainshil, M. Margaliot, P. Chigansky, On the stability of positive linear switched systems under arbitrary switching laws, AC IEEE 54 (2009) no. 4 pp 897-899
  13. P. Chigansky, F. Klebaner, Distribution of the Brownian motion on the way to hitting zero, ECP 13 (2008) pp. 641-648 (arXiv)
  14. P. Chigansky, R. van Handel, A complete solution to Blackwell's unique ergodicity problem for hidden Markov models, AoAP  20 (2010) no. 6 pp 2318-2345 (arXiv)
  15. P. Chigansky, Y. Ritov, On the Viterbi process with continuous state space, Bernoulli 17 (2011) no. 2  pp. 609-627 (arXiv)
  16. P. Chigansky, F. C. Klebaner, The Euler-Maruyama approximation for the absorption time of the CEV diffusion, DCDS-B  17 (2012) no 5  pp. 1455-1471 (arXiv)
  17. P. Chigansky, Y. Kutoyants, On nonlinear TAR processes and threshold estimation, MMS 21 (2012)  no. 2 pp 142-152 (arXiv)
  18. P. Chigansky, F.C. Klebaner, Compound Poisson approximation for triangular arrays with application to threshold estimation, ECP 17 (2012) paper no. 29, 10 pp (arXiv)
  19. P. Chigansky, Y.A. Kutoyants, Estimation in threshold autoregressive models with correlated innovations, AISM 65 (2013) no. 5  pp 959-992 (arXiv)
  20. C. Cai, P. Chigansky, M. Kleptsyna, Mixed Gaussian processes: a filtering perspective , AoP 44 (2016) no. 4  pp. 3032-3075 (arXiv)
  21. A.D. Barbour, P. Chigansky, F.C. Klebaner, On the emergence of the random initial condition in fluid limits, JAP 53(2016) no. 4 pp. 1193-1205  (arXiv)
  22. P. Chigansky, P. Jagers, F. Klebaner, What can be observed in real time PCR and when does it show?, to appear in JoMB (arXiv)
  23. P. Chigansky, M. Kleptsyna, Exact asymptotics in eigenproblems for fractional Brownian covariance operators, to appear in SPA  (arXiv) 


Refereed volumes

  1. P. Chigansky, R. Liptser, The Freidlin-Wentzell LDP with rapidly growing coefficients, in Stochastic Differential Equations:
        Theory and Applications, a Volume in Honor of Professor Boris L. Rozovskii (2007) World Scientific Publishing Company. P. Baxendale and S. Lototsky, Ed.(amazon/arXiv)
  2. P. Chigansky, R. Liptser, R. van Handel, Intrinsic methods in filter stability, Handbook of Nonlinear Filtering, Oxford University Press (amazon/preprint), 2011

                Note: related earlier lecture notes for Coloquio Inter-institucional, LNCC, Petropolis, Brazil

Preprints

  1. P. Chigansky, M. Kleptsyna, Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process, arXiv
  2. P. Chigansky, M. Kleptsyna, D. Marushkevych, On the eigenproblem for Gaussian bridges, arXiv