Theory of Stochastic Processes, 2008, № 2
http://dspace.nbuv.gov.ua:80/handle/123456789/4545
2026-04-06T00:15:55ZNonhomogeneous diffusion processes in a halfspace whose behaviour on the boundary is described by general Wentzel boundary condition
http://dspace.nbuv.gov.ua:80/handle/123456789/4560
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.
2008-01-01T00:00:00ZA family of martingales generated by a process with independent increments
http://dspace.nbuv.gov.ua:80/handle/123456789/4559
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.
2008-01-01T00:00:00ZPenalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding
http://dspace.nbuv.gov.ua:80/handle/123456789/4558
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.
2008-01-01T00:00:00ZNecessary condition for some singular stochastic control systems with variable delay
http://dspace.nbuv.gov.ua:80/handle/123456789/4557
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