Theory of Stochastic Processes, 2008, № 2 http://dspace.nbuv.gov.ua:80/handle/123456789/4545 2026-04-06T00:22:27Z 2026-04-06T00:22:27Z Nonhomogeneous diffusion processes in a halfspace whose behaviour on the boundary is described by general Wentzel boundary condition Tsapovska, Z.Ya. http://dspace.nbuv.gov.ua:80/handle/123456789/4560 2009-12-07T10:00:35Z 2008-01-01T00:00:00Z Nonhomogeneous diffusion processes in a halfspace whose behaviour on the boundary is described by general Wentzel boundary condition Tsapovska, Z.Ya. Using analytical methods, we consider the problem of constructing a nonhomogeneous multidimensional diffusion process in a halfspace with given diffusion characteristics at the inner points and general Wentzel boundary conditions. 2008-01-01T00:00:00Z A family of martingales generated by a process with independent increments Sole, J.L. Utzet, F. http://dspace.nbuv.gov.ua:80/handle/123456789/4559 2009-12-07T10:00:34Z 2008-01-01T00:00:00Z A family of martingales generated by a process with independent increments Sole, J.L.; Utzet, F. An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of martingales related to the jumps of the process called Teugels martingales. 2008-01-01T00:00:00Z Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding Roynette, B. Vallois, P. Yor, M. http://dspace.nbuv.gov.ua:80/handle/123456789/4558 2009-12-07T10:00:33Z 2008-01-01T00:00:00Z Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding Roynette, B.; Vallois, P.; Yor, M. We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of the Brownian motion up to time t. Two main cases are treated: either Ft is the indicator function of {It ≥ α, St ≤ β} or Ft is null when {St − It > c} for some c > 0. Then we apply these results to some kind of asymptotic Skorokhod embedding problem. 2008-01-01T00:00:00Z Necessary condition for some singular stochastic control systems with variable delay Nilgun, M. Agayeva, Ch.A. http://dspace.nbuv.gov.ua:80/handle/123456789/4557 2009-12-07T10:00:32Z 2008-01-01T00:00:00Z Necessary condition for some singular stochastic control systems with variable delay Nilgun, M.; Agayeva, Ch.A. The purpose of this paper is to study conditions for the optimality of singular stochastic control systems with variable delay and constraint on the endpoint of state. The necessary condition of optimality for singular systems is obtained. 2008-01-01T00:00:00Z