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

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

Результати 1-20 з 35

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Analysis and forecasting of self-similar financial time series

Moklyachuk, M.; Zrazhevsky, A. (2006)

Time series of prices of MSFT ticker are considered. Results on selfsimilarity of this time series are presented. A method of prediction from FARIMA model for long-range dependent time series is described. This method is ...
Application of the theory of square-Gaussian processes to simulation of stochastic processes

Kozachenko, Y.; Rozora, I. (2006)

In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions under ...
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 ...
The encyclopedia of actuarial science

Teugels, J.L.; Ramsey, H. (2006)

We give a short historical survey on why and how the Encyclopedia has emerged. We consider both the editorial and the managerial side of the project. We indicate some of the special features of the work.
Exact non-ruin probabilities in infinite time

Chernecky, V. (2006)

Using the Wiener-Hopf method, for the fundamental equation of the risk theory it is obtained an exact solution in terms of the Fourier transforms and factorization.
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 ...
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 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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I

Silvestrov, D.S.; Drozdenko, M.O. (2006)

Necessary and sufficient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes with ﬁnite set of states are obtained. These results are applied to risk processes and give necessary and sufficient ...
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. II

Silvestrov, D.S.; Drozdenko, M.O. (2006)

Necessary and suffcient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes, obtained in the ﬁrst part of this paper [66], are applied to counting processes generating by ﬂows of rare events ...
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, ...
On accuracy of simulation of gaussian stationary processes in L2([0, T])

Turchyn, Y. (2006)

A theorem about simulation of a Gaussian stochastic process with given accuracy and reliability in L2([0, T ]) using wavelets has been proved.
On extension of the limit theorem of renewal theory and its application

Bondarenko, A. (2006)

An extension of the limit theorem of renewal theory on the case of semi-Markov process with an atom of the stationary distribution of the embedded Markov chain is obtained in this paper. The obtained result is used for ...
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 ...
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 ...

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

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