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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2007 (Volume 13 (29))
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Theory of Stochastic Processes, 2007, № 1-2
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Перегляд Theory of Stochastic Processes, 2007, № 1-2 за датою випуску

Перегляд Theory of Stochastic Processes, 2007, № 1-2 за датою випуску

Результати 1-20 з 30

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On one stochastic optimal control problem with variable delay

Agayeva, C. (2007)

A stochastic optimal control problem with variable delays in control is considered. The maximum principle for nonlinear stochastic control system with constrains in the right end of trajectory is proved.
Remark on optimal investment in a market with memory

Inoue, A.; Nakano, Y. (2007)

We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of n independent components and each component has memory described by two parameters. ...
Results on fractal measure of some sets

Barbulescu, A. (2007)

The fractal dimensions are very important characteristics of fractal sets. A problem which arises in the study of fractal sets is the determination of their dimensions. The Hausdorf dimension is dfficult to be determined, ...
Arbitrage with fractional brownian motion?

Bender, C.; Sottinen, T.; Valkeila, E. (2007)

In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price modelling. In several papers ...
Asymptotically optimal estimator of the parameter of semi-linear autoregression

Ivanenko, D. (2007)

The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of ...
A limit theorem for semi-Markov process

Bondarenko, A. (2007)

A limit theorem for the strongly regular semi-Markov process is proved under conditions C1 – C3.
Precise asymptotics over a small parameter for a series of large deviation probabilities

Buldygin, V.V.; Klesov, O.I.; Steinebach, J.G. (2007)
Simex estimator for polynomial errors-in-variables model

Gontar, O.; Malenko, A. (2007)

For polynomial errors-in-variables model, the Simex estimator is constructed in such way that it is consistent, as the samples size grows and the size of auxiliary sample is ﬁxed. Then the estimator is modiﬁed in such a ...
Consistency of M-estimates in general nonlinear regression models

Ivanov, A.V.; Orlovsky, I.V. (2007)

Nonlinear regression model with continuous time and weak dependent or long-range dependent stationary noise is considered. Strong consistency suffient conditions of M-estimates of regression parameters are obtained.
Diffusion approximation algorithms in merging phase space

Koroliuk, V.; Limnios, N. (2007)

Diffusion approximation algorithms for stochastic systems in split and merging phase space are represented in servey form. The main mathematical tools of such algorithms are described in our book ”Stochastic Systems in ...
Asymptotic equivalence of the solutions of the linear stochastic ito equations in the Hilbert space

Krenevych, A. (2007)

We obtain the suffcient conditions of asymptotic equivalence in mean square and with probability one of linear ordinary and stochastic Ito equations in the Hilbert space.
Uniqueness in law of solutions of stochastic differential inclusions

Lepeyev, A.N. (2007)

The paper deals with one-dimensional homogeneous stochastic differential inclusions without drift with Borel measurable mapping at the right side. We give the conditions for uniqueness in law and existence of unique in law ...
Efficiency comparison of two consistent estimators in nonlinear regression model with small measurement errors

Malenko, A. (2007)

We study a nonlinear measurement model where the response variable has a density belonging to the exponential family. We consider two consistent estimators: Corrected Score (CS) and Quasi Score (QS) ones. Their relative ...
Estimation of the rate of convergence to the limit distribution of the number of false solutions of a system of nonlinear random Boolean equations that has a linear part

Masol, V.; Slobodian, M. (2007)

The theorem on a estimation of the rate of convergence (n →∞) to the Poisson distribution of the number of false solutions of a beforehand consistent system of nonlinear random equations, that has a linear part, over the ...
On the asymptotic normality of the number of false solutions of a system of nonlinear random Boolean equations

Masol, V.; Slobodyan, S. (2007)

The theorem on a normal limit (n → ∞) distribution of the number of false solutions of a system of nonlinear Boolean equations with independent random coefficients is proved. In particular, we assume that each equation has ...
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process

Mishura, Y.; Posashkov, S. (2007)

The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established.
Robust filtering of stochastic processes

Moklyachuk, M.; Masyutka, A. (2007)
Measures of financial risks and market crashes

Novak, S.Y (2007)

The problem of particular importance in financial risk management is forecasting the magnitude of a market crash. We address this problem using statistical inference on heavy–tailed distributions. Our approach involves ...
Some properties of weight functions in Tauberian theorems. II

Olenko, A. (2007)

New representations for weight functions in Tauberian theorems are derived. The representations are given by recurrent formulae. Obtained results are used to study properties of the weight functions.
Topological, metric and fractal properties of probability distributions on the set of incomplete sums of positive series

Pratsiovytyi, M.V.; Feshchenko, O.Yu. (2007)

We study the structure, topological, metric and fractal properties of the distribution of random incomplete sum of the convergent positive series with independent terms under certain conditions on the rate of convergence ...

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Перегляд Theory of Stochastic Processes, 2007, № 1-2 за датою випуску

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