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Перегляд Theory of Stochastic Processes, 2005 (Volume 11 (27)) за датою випуску

Перегляд Theory of Stochastic Processes, 2005 (Volume 11 (27)) за датою випуску

Результати 1-15 з 15

One class of multidimensional stochastic differential equations having no property of weak uniqueness of a solution

Aryasova, O.V.; Portenko, M.I. (2005)

A class of stochastic differential equations in a multidimensional Euclidean space such that the property of a solution to be unique (in a weak sense) fails for it is considered. We present the correct formulation of the ...
On the existence and uniqueness of the solution of a differential equation with interaction governed by generalized function in abstract wiener space

Brayman, V.B. (2005)

We consider some the following differential equation with interaction governed by a generalized function/ The conditions that guarantee the existence and uniqueness of a solution when mapping a belongs to some Sobolev ...
PRV property and the asymptotic behaviour of solutions of stochastic differential equations

Buldygin, V.V.; Klesov, O.I.; Steinebach, J.G. (2005)

We consider the a.s. asymptotic behaviour of a solution of the stochastic differential equation (SDE) dX(t) = g(X(t))dt + σ(X(t))dW(t), with X(0) ≡ b > 0, where g(.) and σ(.) are positive continuous functions and W(.) ...
On the stability with probability one for a class of stochastic semigroups

Chani, A.C. (2005)

The formulated theorem speciﬁes the result of A.V. Skorokhod concerning the stability with probability one for the solution of a linear stochastic system built on a continuous homogeneous semimartingale with independent ...
One version of the clark representation theorem for arratia flows

Dorogovtsev, A.A. (2005)

The article contains the description of functionals from a family of coalescing Brownian particles. A new type of the stochastic integral is introduced and used.
On the exit from a finite interval for the risk processes with stochastic premiums

Gusak, D.V.; Karnaukh, E.V. (2005)

We consider the almost semicontinuous step-process ξ(t). The conditional characteristic functions of the jumps of ξ(t) have the form E [eiαξk /ξk > 0] = c(c − iα)−1. For such processes, the boundary functionals related ...
Exit from an interval by a difference of two renewal processes

Kadankov, V. (2005)

Integral transforms of the joint distribution of the ﬁrst exit time from an interval, the value of the overshoot through a boundary, and the value of a linear component at the epoch of the exit are determined for the ...
On large deviations in estimation problem with dependent observations

Knopov, P.S.; Kasitskaya, E.J. (2005)

The paper is devoted to the stochastic optimization problem with a stationary ergodic random sequence satisfying the hypermixing condition. It is assumed that we have the ﬁnite number of observed elements in the sequence, ...
Marginal probability distributions of random sets in R with Markovian refinements

Virchenko, Yu.P.; Shpilinskaya, O.L. (2005)

Marginal probability distributions describing statistically random sets in R losed with probability one are introduced. These distributions are calculated in the case of random sets with Markovian reﬁnements.
The limit stochastic equation changes type

Makhno, S.Ya. (2005)

We study the weak convergence of solutions of the Itˆo stochastic equation, whose coeffcients depend on a small parameter. Conditions under which the limit process changes the type and will be a solution of the stochastic ...
On the Markov property of strong solutions to sde with generalized coefficients

Zaitseva, L.L. (2005)

We present the complete proof of the Markov property of the strong solution to a multidimensional stochastic differential equation, whose coefficients involve the local time on a hyperplane of the unknown process.
Modified orthogonal regression estimator in the quadratic errors-in-variables model

Repetatska, G. (2005)

The quadratic functional measurement error model with equal error variances is considered. The asymptotic bias of an orthogonal regression estimator is derived. A modiﬁed estimator which has smaller asymptotic bias for ...
Multiplicative decomposition and infinite divisibility of the mandel distribution

Virchenko, Yu.P.; Vitokhina, N.N. (2005)

Inﬁnite divisibility of the Mandel distribution that arises in quantum optics is proved. On the basis of this fact, the multiplicative decomposition of this distribution into the countable convolution of some Poisson ...
Parameter estimators of nonlinear quantile regression

Ivanov, A.V.; Orlovsky, I.V. (2005)

We have obtained the asymptotic normality of parameter estimators of a nonlinear quantile regression with nonsymmetric random noise.
Limit theorems for oscillatory functionals of a Markov process

Androshchuk, T.O.; Kulik, A.M. (2005)

We study the limit behavior of a family of functionals from a given Markov process which are called oscillatory functionals. The typical oscillatory functional is homogeneneous and non-negative but neither additive nor ...

Результати 1-15 з 15

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Перегляд Theory of Stochastic Processes, 2005 (Volume 11 (27)) за датою випуску

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