Theory of Stochastic Processes, 2008, № 2 http://dspace.nbuv.gov.ua:80/handle/123456789/4545 Mon, 06 Apr 2026 01:34:18 GMT 2026-04-06T01:34:18Z Theory of Stochastic Processes, 2008, № 2 http://dspace.nbuv.gov.ua:80/bitstream/id/168108/ http://dspace.nbuv.gov.ua:80/handle/123456789/4545 Nonhomogeneous 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. Tue, 01 Jan 2008 00:00:00 GMT http://dspace.nbuv.gov.ua:80/handle/123456789/4560 2008-01-01T00:00:00Z A 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. Tue, 01 Jan 2008 00:00:00 GMT http://dspace.nbuv.gov.ua:80/handle/123456789/4559 2008-01-01T00:00:00Z Penalisations 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. Tue, 01 Jan 2008 00:00:00 GMT http://dspace.nbuv.gov.ua:80/handle/123456789/4558 2008-01-01T00:00:00Z Necessary 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. Tue, 01 Jan 2008 00:00:00 GMT http://dspace.nbuv.gov.ua:80/handle/123456789/4557 2008-01-01T00:00:00Z