Theory of Stochastic Processes, 2007, № 4
http://dspace.nbuv.gov.ua:80/handle/123456789/3054
2024-03-29T08:33:48ZLong-term returns in stochastic interest rate models
http://dspace.nbuv.gov.ua:80/handle/123456789/4528
Long-term returns in stochastic interest rate models
Zubchenko, V.
We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model.
2007-01-01T00:00:00ZStrong invariance principle for renewal and randomly stopped processes
http://dspace.nbuv.gov.ua:80/handle/123456789/4527
Strong invariance principle for renewal and randomly stopped processes
Zinchenko, N.
The strong invariance principle for renewal process and randomly stopped sums when summands belong to the domain of attraction of an α-stable law is presented
2007-01-01T00:00:00ZRandom process from the class V(φ,ψ): exceeding a curve
http://dspace.nbuv.gov.ua:80/handle/123456789/4526
Random process from the class V(φ,ψ): exceeding a curve
Yamnenko, R.; Vasylyk, O.
Random processes from the class V (φ, ψ) which is more general than the class of ψ-sub-Gaussian random process. The upper estimate of the probability that a random process from the class V (φ, ψ) exceeds some function is obtained. The results are applied to generalized process of fractional Brownian motion.
2007-01-01T00:00:00ZStationary processes in functional spaces Lq( R )
http://dspace.nbuv.gov.ua:80/handle/123456789/4525
Stationary processes in functional spaces Lq( R )
Yakovenko, T.
The paper is devoted to the problem of establishing the conditions on the stochastic process to belong it to the functional space Lq(R) with probability one. The corresponding results were obtained for the strictly Orlicz, stationary in wide sense processes.
2007-01-01T00:00:00Z