×

Found 83 Documents (Results 1–83)

Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises. (English) Zbl 07819619

Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 277-323 (2022).
MSC:  60G15 60G51 60H10
PDFBibTeX XMLCite
Full Text: DOI arXiv

Asymptotic analysis of unstable solutions of stochastic differential equations. (English) Zbl 1456.60002

Bocconi & Springer Series 9. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-030-41290-6/hbk; 978-3-030-41293-7/pbk; 978-3-030-41291-3/ebook). xv, 240 p. (2020).
PDFBibTeX XMLCite
Full Text: DOI

Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. (English. Ukrainian original) Zbl 1409.60061

Theory Probab. Math. Stat. 97, 167-182 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 157-170 (2017).
MSC:  60G22 60G15 60H10
PDFBibTeX XMLCite
Full Text: DOI arXiv

Weak convergence of integral functionals constructed from solutions of Itô’s stochastic differential equations with non-regular dependence on a parameter. (English. Ukrainian original) Zbl 1402.60073

Theory Probab. Math. Stat. 96, 111-125 (2018); translation from Teor. Jmovirn. Mat. Stat. 96, 110-124 (2016).
MSC:  60H10 60F17 60J60
PDFBibTeX XMLCite
Full Text: DOI

Drift parameter estimation in the models involving fractional Brownian motion. (English) Zbl 1382.60063

Panov, Vladimir (ed.), Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov’s 70th birthday, Moscow, Russia, May 29 – June 2, 2016. Cham: Springer (ISBN 978-3-319-65312-9/hbk; 978-3-319-65313-6/ebook). Springer Proceedings in Mathematics & Statistics 208, 237-268 (2017).
MSC:  60G22 60H10
PDFBibTeX XMLCite
Full Text: DOI

Parameter estimation in fractional diffusion models. (English) Zbl 1388.60006

Bocconi & Springer Series 8. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-71029-7/hbk; 978-3-319-71030-3/ebook). xix, 390 p. (2017).
MSC:  60-02 60J60 62G05
PDFBibTeX XMLCite
Full Text: DOI

Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations. (English. Ukrainian original) Zbl 1322.60091

Theory Probab. Math. Stat. 90, 115-126 (2015); translation from Teor. Jmovirn. Mat. Stat. 90, 102–112 (2014).
MSC:  60H10 60F17 60G48
PDFBibTeX XMLCite
Full Text: DOI

Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. (English) Zbl 1329.60193

Korolyuk, Volodymyr (ed.) et al., Modern stochastics and applications. Selected papers based on the presentations at the international conference “Modern stochastics: theory and applications III”, dedicated to B. V. Gnedenko on the occasion of his 100th birthday and to M. I. Yadrenko on the occasion of his 80th birthday, Kyiv, Ukraine, September 10–14, 2012. Cham: Springer (ISBN 978-3-319-03511-6/hbk; 978-3-319-03512-3/ebook). Springer Optimization and Its Applications 90, 303-318 (2014).
PDFBibTeX XMLCite
Full Text: DOI arXiv

Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations. (English) Zbl 1322.60090

Theory Probab. Math. Stat. 89, 101-114 (2014); translation from Teor. Jmovirn. Mat. Stat. 89, 91–103 (2013).
MSC:  60H10 60F17 60J60
PDFBibTeX XMLCite
Full Text: DOI

Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter. (English. Russian original) Zbl 1254.60060

Theory Probab. Math. Stat. 83, 111-126 (2011); translation from Teor. Jmovirn. Mat. Stat. 83, 92-105 (2010).
MSC:  60H10 60G22 60J65
PDFBibTeX XMLCite
Full Text: DOI

Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure. (English. Russian original) Zbl 1235.60086

Ukr. Math. J. 63, No. 1, 49-73 (2011); translation from Ukr. Mat. Zh. 63, No. 1, 40-60 (2011).
MSC:  60H35 65C30 91G80
PDFBibTeX XMLCite
Full Text: DOI

An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter. (English. Ukrainian original) Zbl 1232.60052

Theory Probab. Math. Stat. 82, 70-85 (2011); translation from Teor. Jmovirn. Mat. Stat. No. 82, 82-91.
MSC:  60H35 60H10 60G22
PDFBibTeX XMLCite
Full Text: DOI

Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure. (Ukrainian, English) Zbl 1224.60156

Teor. Jmovirn. Mat. Stat. 80, 43-54 (2009); translation in Theory Probab. Math. Stat. 80, 47-59 (2010).
MSC:  60H10 60H05 60J65
PDFBibTeX XMLCite
Full Text: DOI

Properties of solutions of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. (Ukrainian, English) Zbl 1224.91194

Teor. Jmovirn. Mat. Stat. 79, 105-113 (2008); translation in Theory Probab. Math. Stat. 79, 117-126 (2009).
MSC:  91G80 60H10 91G30
PDFBibTeX XMLCite
Full Text: DOI

Stochastic calculus for fractional Brownian motion and related processes. (English) Zbl 1138.60006

Lecture Notes in Mathematics 1929. Berlin: Springer (ISBN 978-3-540-75872-3/pbk; 978-3-540-75873-0/ebook). xvii, 393 p. (2008).
PDFBibTeX XMLCite
Full Text: DOI

Existence and uniqueness of the solution of a stochastic differential equation, driven by fractional Brownian motion with a stabilizing term. (Ukrainian, English) Zbl 1199.60121

Teor. Jmovirn. Mat. Stat. 76, 117-124 (2007); translation in Theory Probab. Math. Stat. 76, 131-139 (2008).
MSC:  60G15 60H05 60H10
PDFBibTeX XMLCite
Full Text: Link

Maximum upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations that have fractional Brownian motion with Hurst index \(H<1/2\). II. (Ukrainian, English) Zbl 1199.60214

Teor. Jmovirn. Mat. Stat. 76, 53-69 (2007); translation in Theory Probab. Math. Stat. 76, 59-76 (2008).
PDFBibTeX XMLCite
Full Text: Link

Approximation schemes for stochastic differential equations in Hilbert space. (English. Russian original) Zbl 1148.60044

Theory Probab. Appl. 51, No. 3, 442-458 (2007); translation from Teor. Veroyatn. Primen. 51, No. 3, 476-495 (2007).
PDFBibTeX XMLCite
Full Text: DOI

Stochastic integrals and stochastic differential equations, which contain fractional Brownian field. (Ukrainian, English) Zbl 1164.60383

Teor. Jmovirn. Mat. Stat. 75, 80-94 (2006); translation in Theory Probab. Math. Stat. 75, 93-108 (2007).
MSC:  60H10
PDFBibTeX XMLCite
Full Text: Link

Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations containing fractional Brownian motion with Hurst index \(H<1/2\). I. (Ukrainian, English) Zbl 1164.60378

Teor. Jmovirn. Mat. Stat. 75, 45-56 (2006); translation in Theory Probab. Math. Stat. 75, 51-64 (2007).
MSC:  60H05 60G15
PDFBibTeX XMLCite
Full Text: Link

Linear equations and stochastic exponents in a Hilbert space. (Ukrainian, English) Zbl 1097.60050

Teor. Jmovirn. Mat. Stat. 71, 123-132 (2004); translation in Theory Probab. Math. Stat. 71, 139-149 (2005).
PDFBibTeX XMLCite
Full Text: Link

The absence of arbitrage in a mixed Brownian-fractional Brownian model. (English. Russian original) Zbl 1113.91322

Proc. Steklov Inst. Math. 237, 215-224 (2002); translation from Tr. Mat. Inst. Steklova 237, 224-233 (2002).
MSC:  91B28 60G15 60H10 60H30 91B70
PDFBibTeX XMLCite

Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations. (English) Zbl 0983.60057

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 230-238 (2001).
MSC:  60H10
PDFBibTeX XMLCite

Maximal inequalities for moments of Wiener integrals with respect to fractional Brownian motion. (English. Ukrainian original) Zbl 0985.60032

Theory Probab. Math. Stat. 61, 75-86 (2000); translation from Teor. Jmovirn. Mat. Stat. 61, 72-83 (2000).
MSC:  60G15 60H10 60G44
PDFBibTeX XMLCite

Optimal stopping times for solutions of nonlinear stochastic differential equations and their applications to a problem of financial mathematics. (English. Ukrainian original) Zbl 0978.60064

Ukr. Math. J. 51, No. 6, 899-906 (1999); translation from Ukr. Mat. Zh. 51, No. 6, 804-809 (1999).
MSC:  60H10 62P05 60G40
PDFBibTeX XMLCite

Some properties of exponential martingales and the problem of optimal stopping. (English. Ukrainian original) Zbl 0955.60055

Theory Probab. Math. Stat. 60, 159-164 (2000); translation from Teor. Jmovirn. Mat. Stat. 60, 143-148 (1999).
MSC:  60G60 60H10
PDFBibTeX XMLCite

Stochastic differential equations in Hilbert space: Properties of solutions, limit theorems, asymptotic expansions with respect to a small parameter. II. (English. Ukrainian original) Zbl 0958.60058

Theory Probab. Math. Stat. 59, 139-147 (1999); translation from Teor. Jmorvirn. Mat. Stat. 59, 135-143 (1998).
MSC:  60H10 60H05 60G44
PDFBibTeX XMLCite

Stochastic differential equations in Hilbert space: Properties of solutions, limit theorems, asymptotic expansions with respect to a small parameter. I. (English. Ukrainian original) Zbl 0940.60082

Theory Probab. Math. Stat. 58, 123-137 (1999); translation from Teor. Jmovirn. Mat. Stat. 58, 114-127 (1998).
MSC:  60H10 60G44
PDFBibTeX XMLCite

Stochastic integrals and stochastic differential equations on the plane involving strong semimartingales. (English) Zbl 0776.60069

New trends in probability and statistics. Vol. 1, Proc. 23rd Bakuriani Colloq. in Honour of Yu. V. Prokhorov, Bakuriani/USSR 1990, 485-502 (1991).
Reviewer: M.Dozzi (Nancy)
MSC:  60H10 60G60
PDFBibTeX XMLCite

Filter Results by …

Database

all top 5

Year of Publication

all top 3

Main Field

all top 3

Software