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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, № 3-4
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Перегляд Theory of Stochastic Processes, 2008, № 3-4 за датою випуску

Перегляд Theory of Stochastic Processes, 2008, № 3-4 за датою випуску

Результати 1-14 з 14

Minimax prediction problem for multidimentional stochastic sequences

Moklyachuk, M.; Masyutka, A. (2008)
Preface

Автор відсутній (2008)
Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions

Banna, O.; Mishura, Y. (2008)
Limit behavior of non-autonomous random oscillating system of third order under random periodic external disturbances in resonance case

Borysenko, O.D.; Borysenko, O.V. (2008)

The asymptotic behavior of the general type third order non-autonomous oscillating system under the action of small non-linear random periodic perturbations of "white" and "Poisson" types in resonance case is investigated.
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions

Bratyk, M.; Mishura, Y. (2008)

The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability ...
Storage processes in Poisson approximation scheme

Koroliuk, V.S. (2008)

Discrete storage processes, given by a sum of random variables on Markov and semi-Markov processes, are approximated by the Poisson compound processes on increasing time intervals.
Multivariate random fields on some homogeneous spaces

Ponomarenko, O.; Perun, Y. (2008)

The generalized continuous random fields of second order with values in arbitrary complex normed space X in the case when their arguments belong to homogeneous space with compact transformation group G are considered. Such ...
Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process

Pupashenko, M.; Kukush, A. (2008)

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. In Kukush et al. (2006) On reselling of European ...
Nonlinearly perturbed stochastic processes

Silvestrov, D. (2008)

This paper is a survey of results presented in the recent book [25]). This book is devoted to studies of quasi-stationary phenomena in nonlinearly perturbed stochastic systems. New methods of asymptotic analysis for ...
Exact non-ruin probabilities in arithmetic case

Chernecky, V. (2008)

Using the Wiener-Hopf method, for the model with arithmetic distributions of waiting times Ti and claims Zi in ordinary renewal process, an exact non-ruin probabilities for an insurance company in terms of the factorization ...
Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion

Mishura, Y.; Posashkova, S. (2008)

We give a sufficient condition on coefficients of a nonhomogeneous stochastic differential equation with non-Lipschitz diffusion for a solution starting from arbitrary nonrandom positive point to stay positive. Some examples ...
Approximation of random processes by cubic splines

Kamenschykova, O. (2008)

Approximation of some classes of random processes by cubic splines with given accuracy and reliability is considered. Estimations of deviation of approximating spline from original process are obtained. A few examples of ...
On the rate of convergence of barrier option prices in binomial market to those in continuous time market

Soloveiko, O.; Shevchenko, G. (2008)

We estimate the rate of convergence of barrier option price in a discrete time binomial market to such in a continuous time market.
Risk process with stochastic premiums

Zinchenko, N.; Andrusiv, A. (2008)

The Cramer-Lundberg model with stochastic premiums which is natural generalization of classical dynamic risk model is considered. Using martingale technique the Lundberg inequality for ruin probability is proved and ...

Результати 1-14 з 14

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Перегляд Theory of Stochastic Processes, 2008, № 3-4 за датою випуску

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Перегляд Theory of Stochastic Processes, 2008, № 3-4 за датою випуску

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