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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2008 (Volume 14 (30))
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Theory of Stochastic Processes, 2008, № 2
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Перегляд Theory of Stochastic Processes, 2008, № 2 за датою випуску

Перегляд Theory of Stochastic Processes, 2008, № 2 за датою випуску

Результати 1-14 з 14

A uniqueness theorem for the martingale problem describing a diffusion in media with membranes

Aryasova, O.V.; Portenko, M.I. (2008)

We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given mooth surface and having the properties of skewing and delaying. The theorem on ...
On asymptotic behaviour of probabilities of small deviations for compound Cox processes

Frolov, A.N. (2008)

We derive logarithmic asymtotics for probabilities of small deviations for compound Cox processes in the space of trajectories. We find conditions under which these asymptotics are the same as those for sums of independent ...
Linear stochastic differential equations in the dual of a multi-Hilbertian space

Gawarecki, L.; Mandrekar, V.; Rajeev, B. (2008)

We prove the existence and uniqueness of strong solutions for linear stochastic differential equations in the space dual to a multi–Hilbertian space driven by a finite dimensional Brownian motion under relaxed assumptions ...
On a bad descriptive structure of Minkowski’s sum of certain small sets in a topological vector space

Kharazishvili, A.B. (2008)

For some natural classes of topological vector spaces, we show the absolute nonmeasurability of Minkowski’s sum of certain two universal measure zero sets. This result can be considered as a strong form of the classical ...
On the martingale problem for pseudo-differential operators of variable order

Komatsu, T. (2008)

Consider parabolic pseudo-differential operators L = ∂t − p(x,Dx) of variable order α(x) ≤ 2. The function α(x) is assumed to be smooth, but the symbol p(x, ξ) is not always differentiable with respect to x. We will show ...
Pasting of two diffusion processes on a line with nonlocal boundary conditions

Kononchuk, P. (2008)

In this paper, we obtain an integral representation of an operator semigroup that describes the Feller process on a line that is a result of pasting together two diffusion processes with a nonlocal condition of conjugation.
The Brownian motion process with generalized diffusion matrix and drift vector

Kopytko, B.I.; Novosyadlo, A.F. (2008)

Using the method of the classical potential theory, we have constructed a semigroup of operators that describes a multidimensional process of Brownian motion, for which the drift vector and the diffusion matrix are generalized ...
A brief overview of the Lp-theory of SPDEs

Krylov, N. (2008)

We present basics of the Lp-theory of SPDEs and its connection to various related problems of filtration and populational dynamics.
A limit theorem for the number of sign changes for a sequence of one-dimensional diffusions

Kulik, A.M. (2008)

The (normalized) number of sign changes for a weakly convergent sequence of onedimensional diffusion processes is considered. The limit theorem for this number is established.
Limit theorems for backward stochastic equations

Makhno, S.Ya.; Yerisova, I.A. (2008)
Necessary condition for some singular stochastic control systems with variable delay

Nilgun, M.; Agayeva, Ch.A. (2008)

The purpose of this paper is to study conditions for the optimality of singular stochastic control systems with variable delay and constraint on the endpoint of state. The necessary condition of optimality for singular ...
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding

Roynette, B.; Vallois, P.; Yor, M. (2008)

We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of ...
A family of martingales generated by a process with independent increments

Sole, J.L.; Utzet, F. (2008)

An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, ...
Nonhomogeneous diffusion processes in a halfspace whose behaviour on the boundary is described by general Wentzel boundary condition

Tsapovska, Z.Ya. (2008)

Using analytical methods, we consider the problem of constructing a nonhomogeneous multidimensional diffusion process in a halfspace with given diffusion characteristics at the inner points and general Wentzel boundary conditions.

Результати 1-14 з 14

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Перегляд Theory of Stochastic Processes, 2008, № 2 за датою випуску

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