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Theory of Stochastic Processes, 2007 (Volume 13 (29))
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Перегляд Theory of Stochastic Processes, 2007 (Volume 13 (29)) за датою випуску

Перегляд Theory of Stochastic Processes, 2007 (Volume 13 (29)) за датою випуску

Результати 1-20 з 58

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Limit behavior of autonomous random oscillating system of third order

Borysenko, O.D.; Borysenko, O.V. (2007)

The asymptotic behavior of the general type third order autonomous oscillating system under the action of small non-linear random perturbations of ”white” and ”Poisson” types is investigated.
Comparing the efficiency of estimates in concrete errors-in-variables models under unknown nuisance parameters

Kukush, A.; Malenko, A.; Schneeweiss, H. (2007)

We consider a regression of y on x given by a pair of mean and variance functions with a parameter vector θ to be estimated that also appears in the distribution of the regressor variable x. The estimation of θ is based ...
Adapted downhill simplex method for pricing convertible bonds

Mishchenko, K.; Mishchenko, V.; Malyarenko, A. (2007)

The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and ...
Asymptotic expansions for distributions of the surplus prior and at the time of ruin

Silvestrov, D.S. (2007)

Asymptotic expansions for the distribution of the surplus prior to and at the time of a ruin are given for nonlinearly perturbed risk processes.
Convergence of option rewards for Markov type price processes

Silvestrov, D.; Jönsson, H.; Stenberg, F. (2007)

A general price process represented by a two-component Markov process is considered. Its ﬁrst component is interpreted as a price process and the second one as an index process controlling the price component. American ...
The analytical finance package

Silvestrov, D.; Malyarenko, A. (2007)

We describe the Analytical Finance Package, a set of Java applets which is developing at the Malardalen University.
Strong invariance principle for renewal and randomly stopped processes

Zinchenko, N. (2007)

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
Bounds for a sum of random variables under a mixture of normals

Kukush, A.; Pupashenko, M. (2007)

In two papers: Dhaene et al. (2002). Insurance: Mathematics and Economics 31, pp.3-33 and pp. 133-161, the approximation for sums of random variables (rv’s) was derived for the case where the distribution of the components ...
Structure of optimal stopping domains for American options with knock out domains

Lundgren, R. (2007)

American options give us the possibility to exercise them at any moment of time up to maturity. An optimal stopping domain for American type options is a domain that, if the underlying price process enters we should exercise ...
Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition

Moklyachuk, O. (2007)

A theorem is proved that allows to use approximations for construction of the Karhunen-Loeve model of stochastic process with known correlation function.
Systems of financial analysts training

Moklyachuk, M.; Yamnenko, R.; Borysenko, O. (2007)

A review of different systems of ﬁnancial analysts training which exist in European countries and the United States of America is proposed. MBA diploma and professional qualiﬁcation such as Chartered Financial Analyst ...
Stationary processes in functional spaces Lq( R )

Yakovenko, T. (2007)

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, ...
Long-term returns in stochastic interest rate models

Zubchenko, V. (2007)

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 ...
Weak convergence of first-rare-event times for semi-Markov processes

Drozdenko, M. (2007)

Necessary and sufficient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes with ﬁnite set of states in series of schemes are obtained.
Spectral analysis of multivariate stationary random functions on some massive groups

Ponomarenko, O.; Perun, Y. (2007)

The spectral representations for wide sense stationary multivariate random functions and for their covariance functions on two classes of additive vector groups are obtained under some assumptions about continuity of such ...
Random process from the class V(φ,ψ): exceeding a curve

Yamnenko, R.; Vasylyk, O. (2007)

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 ...
Approximation of random processes in the space L2([0, T])

Kamenschykova, O. (2007)

The estimation for distribution of the norms of strictly sub-Gaussian random processes in the space L2(T) is obtained. The approximation of some classes of strictly sub-Gaussian random processes with given accuracy and ...
Prediction problem for random fields on groups

Moklyachuk, M. (2007)

The problem considered is the problem of optimal linear estimation of the functional Aξ = ∑↑∞↓j=0 ∫↓G a(g, j)ξ(g, j)dg which depends on the unknown values of a homogeneous random ﬁeld ξ(g, j) on the group G × Z from ...
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. ...
Another approach to the problem of the ruin probability estimate for risk process with investments

Androshchuk, M.; Mishura, Y. (2007)

An exponential estimate of ruin probability for an insurance company which invests all its capital in risk assets is found. The process which describes the risky assets is assumed to follow a geometrical Brownian motion. ...

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Перегляд Theory of Stochastic Processes, 2007 (Volume 13 (29)) за датою випуску

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