Control theory for deterministic and stochastic systems, Probability theory, Theory of stochastic processes, Martingales theory and their applications, Computer modeling.

Since 1990 I am a Full Professor of Department of Probability Theory of Moscow Aviation Institute where I am responsible for the following lecture courses:

• Stochastic processes (1 year, 68 hours), for the third year students, the lecture course includes the following topics:
  1. General concepts;
  2. Markov's processes;
  3. L2 - theory;
  4. Martingales (discrete and continuous time);
  5. Stochastic differential equations;
  6. Modeling of stochastic processes.
• Theory of martingales (1 semester, 34 hours), for the postgraduate students. The lecture course includes the following topics:
  1. Martingales (time discrete and continuous);
  2. Inequalities for martingales;
  3. Stochastic integration;
  4. Stochastic differential equations;
  5. Applications of the martingales in stochastic control and estimation.
• Control of observations and the experiment design (1 semester, 34 hours), for the postgraduate students. The lecture course includes the following topics:
  1. Methods of statistics;
  2. Experiment design;
  3. Stochastic integration;
  4. Filtering and observation control;
  5. Solution of the observation control problems with aid of the methods of singular control.

Since 1998 I am a Full Professor of Department "Control Theory" of Moscow Institute of Physics and Technology, Moscow. I am responsible for the lecture course:

• Probability and stochastic processes (1 year, 100 hours), for the third year students. The course includes the following topics:
  1. The measure theory;
  2. Theory of measurable function;
  3. Lebegue integral;
  4. Theory of martingales;
  5. Application in statistic and stochastic control;
  6. Modeling of stochastic processes.

In University Bordeaux IV I gave the lecture course:

• Financial mathematics (1 month, 10 hours), for the third year students. The course includes the following topics:
  1. The problem of the option evaluation;
  2. Model of Black-Scholts and its extension;
  3. The martingales based approach;
  4. Complete and incomplete markets.