Домашня сторінка
→
Фізико-технічні та математичні науки
→
Відділення математики
→
Theory of Stochastic Processes
→
Theory of Stochastic Processes, 2006 (Volume 12 (28))
→
Перегляд Theory of Stochastic Processes, 2006 (Volume 12 (28)) за датою випуску

Перегляд Theory of Stochastic Processes, 2006 (Volume 12 (28)) за датою випуску

Результати 1-20 з 35

Наступна сторінка

Stochastic optimal control problem with delay

Agayeva, Ch.A. (2006)

A stochastic optimal control problem with variable delay on phase and on control is considered. The maximum principle for a nonlinear stochastic control system with controlled diffussion coeffcient is proved.
Matrix parameter estimation in an autoregression model

Yurachkivsky, A.P.; Ivanenko, D.O. (2006)

The vector difference equation ξk = Af(ξk−1)+εk, where (εk) is a square integrable difference martingale, is considered. A family of estimators ˇAn depending, besides the sample size n, on a bounded Lipschitz function ...
Random covers of finite homogeneous lattices

Alekseychuk, A.N. (2006)

We develop and extend some results for the scheme of independent random elements distributed on a ﬁnite lattice. In particular, we introduce the concept of the cover of a homogeneous lattice Ln of rank n and derive the ...
On the characterization of premium principle with respect to pointwise comonotonicity

Dhaene, J.; Kukush, A.; Pupashenko, M. (2006)

A premium principle is an economic decision rule used by the insurer in order to determine the amount of the net premium for each risk in his portfolio. In this paper we investigate the problem how to determine the premium ...
Investigation of the asymptotics of a renewal matrix

Buhrii, N.V. (2006)

A semi-Markov process with ﬁnite state space and continuous time without ﬁniteness condition of a mean stay time of this process in every ﬁxed state is considered. The asymptotic behaviour of the renewal matrix at inﬁnity ...
The normal limit distribution of the number of false solutions of a system of nonlinear random equations in the field GF(2)

Masol, V.I.; Slobodyan, S.Y. (2006)

The theorem on a normal limit (n→∞) distribution of the number of false solutions of a beforehand consistent system of nonlinear random equations in the ﬁeld GF(2) with independent coefficients is proved. In particular, ...
Upper bounds of maximum values of average differential and linear characteristic probabilities of feistel cipher with adder modulo 2^m

Alekseychuk, A.; Kovalchuk, L. (2006)

The paper discusses the Feistel cipher with a block size of n = 2m, where the addition of a round key and a part of an incoming massage in each round is carried out modulo 2^m. In order to evaluate the security of such ...
An example of a stochastic differential equation with the property of weak non-uniqueness of a solution

Kopytko, B.I.; Portenko, M.I. (2006)

A family of one-dimensional diﬀusion processes is constructed such that each one of this family is a weak solution to some stochastic diﬀerential equation. It turns out that the property of weak uniqueness of a solution ...
On stochastic differential inclusions with unbounded right sides

Lepeyev, A.N. (2006)

The paper deals with one-dimensional homogeneous stochastic differential inclusions without drift with a Borel measurable right side. Using a new method of explicit solutions, the necessary and sufficient conditions for ...
Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1])

Kozachenko, Y.; Vasylyk, O. (2006)

We present here an application of the results on simulation of weakly self-similar stationary increment φ-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion.
Regular variation in the branching random walk

Iksanov, A.; Polotskiy, S. (2006)

initial ancestor located at the origin of the real line. For n = 0, 1, . . . , let Wn be the moment generating function of Mn normalized by its mean. Denote by AWn any of the following random variables: maximal function, ...
Duration of stay inside an interval by the poisson process with a negative exponential component

Kadankova, T. (2006)

Several two-boundary problems for the Poisson process with an exponential component are solved in the present article. The integral transforms of the joint distribution of the epoch of the ﬁrst exit from the interval and ...
A googness of-fit-test for a multivariate errors-in-variables model

Kukush, A.; Polekha, M. (2006)

A multivariate errors-in-variables model AX ≈ B is considered, where the data matrices A and B are observed with errors, and a matrix parameter X is to be estimated. A goodness-of-ﬁt test which is based on the moment ...
Existence of generalized local times for Gaussian random fields

Rudenko, A. (2006)

We consider a Gaussian centered random ﬁeld that has values in the Euclidean space. We investigate the existence of local time for the random ﬁeld as a generalized functional, an element of the Sobolev space constructed ...
A multidimensional model of the diffusion process with membrane whose properties are described by a general Wentzel boundary condition

Kopytko, B.I.; Tsapovs’ka, Z.Ya. (2006)

By methods of the general potential theory, a semigroup of operators is constructed that describes a multidimensional diffusion process with membrane located on a given hypersurface, whose properties are determined by a ...
On reselling of European option

Kukush, A.G.; Mishura, Yu.S.; Shevchenko, G.M. (2006)

On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no ...
Markov approximation of stable processes by random walks

Kulik, A.M. (2006)

The notion of the Markov approximation is introduced. This notion is illustrated in the frameworks of the multidimensional functional CLT with a normal domain of attraction and the functional CLT with a stable domain of ...
Poisson estimates of the distribution of the rank of a random matrix over the field GF(2)

Masol, V.I.; Popereshnyak, S.V. (2006)

The estimates of the rate of convergence of the distribution of the rank of a random matrix over the ﬁeld GF(2) and the Poisson distribution with the parameter depending on both the matrix sizes and distributions of its ...
Innovation methods, algorithms, and software for analysis of reinsurance contracts

Silvestrov, D.; Teugels, J.; Masol, V.; Malyarenko, A. (2006)

A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on ...
Support theorem on stochastic flows with interaction

Pilipenko, A.Yu. (2006)

We prove an analogue of the Stroock–Varadhan theorem for stochastic ﬂows describing a motion of interacting particles in a random media. A version of the Itˆo lemma for functions on a measure-valued process is obtained.

Результати 1-20 з 35

Наступна сторінка

Пошук

Розширений пошук

Перегляд

Вся бібліотека
Розділ

Перегляд Theory of Stochastic Processes, 2006 (Volume 12 (28)) за датою випуску

Репозиторій DSpace/Manakin

Перегляд Theory of Stochastic Processes, 2006 (Volume 12 (28)) за датою випуску

Пошук

Перегляд

Вся бібліотека

Розділ

Мій обліковий запис