## Modern Stochastics. Theory and Applications

 Short Title: Mod. Stoch., Theory Appl. Publisher: VTeX, Vilnius; Vilnius University, Vilnius; Taras Shevchenko National University of Kyiv, Kyiv ISSN: 2351-6046; 2351-6054/e Online: https://www.vmsta.org/journal/VMSTA/issues Comments: Indexed cover-to-cover; This journal is available open access.
 Documents Indexed: 191 Publications (since 2014) References Indexed: 178 Publications with 3,730 References.
all top 5

### Latest Issues

 9, No. 1 (2022) 8, No. 4 (2021) 8, No. 3 (2021) 8, No. 2 (2021) 8, No. 1 (2021) 7, No. 4 (2020) 7, No. 3 (2020) 7, No. 2 (2020) 7, No. 1 (2020) 6, No. 4 (2019) 6, No. 3 (2019) 6, No. 2 (2019) 6, No. 1 (2019) 5, No. 4 (2018) 5, No. 3 (2018) 5, No. 2 (2018) 5, No. 1 (2018) 4, No. 4 (2017) 4, No. 3 (2017) 4, No. 2 (2017) 4, No. 1 (2017) 3, No. 4 (2016) 3, No. 3 (2016) 3, No. 2 (2016) 3, No. 1 (2016) 2, No. 4 (2015) 2, No. 3 (2015) 2, No. 2 (2015) 2, No. 1 (2015) 1, No. 2 (2014) 1, No. 1 (2014)
all top 5

### Authors

 18 Mishura, Yuliya Stepanivna 8 Kukush, Oleksandr Georgiĭovych 8 Kulik, Alexey M. 7 Sakhno, Lyudmyla Mykhaĭlivna 7 Shevchenko, Georgiy M. 7 Šiaulys, Jonas 6 Maĭboroda, Rostyslav Yevgenovych 5 Ragulina, Olena 5 Ralchenko, Kostiantyn V. 5 Viitasaari, Lauri 4 Ganychenko, Iurii 3 Ilmonen, Pauliina 3 Kulinich, Grygoriĭ L. 3 Kushnirenko, Svitlana V. 3 Orsingher, Enzo 3 Pacchiarotti, Barbara 3 Shklyar, Sergiĭ Volodymyrovych 3 Tsaregorodtsev, Yaroslav 3 Zili, Mounir 2 Andrulytė, Ieva Marija 2 Azmoodeh, Ehsan 2 Barczy, Mátyás 2 Borysenko, Oleksandr Danylovych 2 Borysenko, Olga V. 2 Buchak, Khrystyna 2 Buryak, Filipp 2 Čekanavičius, Vydas 2 Chimisov, C. 2 De Gregorio, Alessandro 2 Di Persio, Luca 2 Es-Sebaiy, Khalifa 2 Garra, Roberto 2 Golomoziy, Vitaliy 2 Gushchin, Aleksandr Aleksandrovich 2 Heß, Markus 2 Ivanov, Aleksandr Vladimirovich 2 Kelbert, Mark Ya. 2 Kievinaitė, Dominyka 2 Knopova, Victoria Pavlovna 2 Kozachenko, Yuriĭ Vasyl’ovych 2 Kubilius, Kȩstutis 2 Kuchuk-Iatsenko, Sergii 2 Macci, Claudio 2 Marynych, Alexander V. 2 Marzougue, Mohamed 2 Matsak, Ivan K. 2 Mayster, Penka 2 Miroshnichenko, Vitalii 2 Möhle, Martin 2 Ouknine, Youssef 2 Pap, Gyula 2 Podolskij, Mark 2 Pryhara, Larysa 2 Radchenko, Vadym Mykolaĭovych 2 Rohde, Victor Ulrich 2 Soboleva, Daryna D. 2 Sottinen, Tommi 2 Sprindys, Jonas 2 Sugakova, Olena Volodymyrivna 2 Tchorbadjieff, Assen 2 Torbin, Grygoriy Myroslavovych 2 Tudor, Ciprian A. 2 Tzaninis, Spyridon M. 2 Voutilainen, Marko 2 Yurchenko-Tytarenko, Anton 1 Al-Foraih, Mishari 1 Alazemi, Fares 1 Aleksidze, L. 1 Alfredsson, Lars 1 Angelani, Luca 1 Ano, Katsunori 1 Avetisian, Diana 1 Bagdonavičius, Vilijandas B. 1 Balde, Maoudo Faramba 1 Banna, Oksana L. 1 Basse-O’Connor, Andreas 1 Beghin, Luisa 1 Bel Hadj Khlifa, Meriem 1 Belfadli, Rachid 1 Belyaev, Yuriĭ Konstantinovich 1 Benth, Fred Espen 1 Berger, David 1 Bernackaitė, Emilija 1 Bodnarchuk, Iryna 1 Bohun, Vladyslav 1 Borzykh, Dmitriy A. 1 Bosze, Zsuzsanna 1 Böttcher, Björn 1 Boulanba, Lahcen 1 Budak, Hüseyin 1 Buteikis, Andrius 1 Chakraborty, Paramita 1 Chebotarev, Vladimir I. 1 Chernova, Oksana Oleksandrivna 1 Cordero, Fernando 1 D’Amico, Guglielmo 1 Danilenko, Svetlana 1 Davydov, Youri 1 Debayle, Johan 1 Decreusefond, Laurent ...and 148 more Authors
all top 5

### Fields

 154 Probability theory and stochastic processes (60-XX) 55 Statistics (62-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Partial differential equations (35-XX) 7 Numerical analysis (65-XX) 6 Number theory (11-XX) 6 Measure and integration (28-XX) 5 Biology and other natural sciences (92-XX) 3 General and overarching topics; collections (00-XX) 3 Real functions (26-XX) 3 Special functions (33-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Functional analysis (46-XX) 3 Information and communication theory, circuits (94-XX) 2 History and biography (01-XX) 2 Ordinary differential equations (34-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Convex and discrete geometry (52-XX) 2 Fluid mechanics (76-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Combinatorics (05-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX)

### Citations contained in zbMATH Open

101 Publications have been cited 238 times in 198 Documents Cited by Year
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
2018
Stochastic wave equation in a plane driven by spatial stable noise. Zbl 1352.60092
Pryhara, Larysa; Shevchenko, Georgiy
2016
Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
2015
Rates of approximation of nonsmooth integral-type functionals of Markov processes. Zbl 1349.60126
Ganychenko, Iu.; Kulik, A.
2014
Nonparametric Bayesian inference for multidimensional compound Poisson processes. Zbl 1349.62115
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
2015
A Lundberg-type inequality for an inhomogeneous renewal risk model. Zbl 1414.91157
Andrulytė, Ieva Marija; Bernackaitė, Emilija; Kievinaitė, Dominyka; Šiaulys, Jonas
2015
Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process. Zbl 1352.60041
Marushkevych, Dmytro
2016
Randomly stopped sums with consistently varying distributions. Zbl 1349.60083
Kizinevič, Edita; Sprindys, Jonas; Šiaulys, Jonas
2016
Double barrier reflected BSDEs with stochastic Lipschitz coefficient. Zbl 1382.60083
Marzougue, Mohamed; El Otmani, Mohamed
2017
Estimation of the drift parameter for the fractional stochastic heat equation via power variation. Zbl 1458.60043
Khalil, Zeina Mahdi; Tudor, Ciprian
2019
A functional limit theorem for random processes with immigration in the case of heavy tails. Zbl 1368.60036
Marynych, Alexander; Verovkin, Glib
2017
Linear regression by observations from mixture with varying concentrations. Zbl 1349.62315
Liubashenko, Daryna; Maiboroda, Rostyslav
2015
Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
2015
Random convolution of inhomogeneous distributions with $$\mathcal {O}$$-exponential tail. Zbl 1349.60010
Danilenko, Svetlana; Paškauskaitė, Simona; Šiaulys, Jonas
2016
Heat equation with general stochastic measure colored in time. Zbl 1349.60111
2014
Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151
Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr
2014
Asymptotic normality of corrected estimator in Cox proportional hazards model with measurement error. Zbl 1308.62188
Chimisov, C.; Kukush, A.
2014
Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients. Zbl 1309.60061
Kulinich, G.; Kushnirenko, S.
2014
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
2017
The risk model with stochastic premiums, dependence and a threshold dividend strategy. Zbl 1410.91284
Ragulina, Olena
2017
Jackknife covariance matrix estimation for observations from mixture. Zbl 1439.62154
Maiboroda, Rostyslav; Sugakova, Olena
2019
Randomly stopped maximum and maximum of sums with consistently varying distributions. Zbl 1372.60064
Andrulytė, Ieva Marija; Manstavičius, Martynas; Šiaulys, Jonas
2017
Compositions of Poisson and Gamma processes. Zbl 1368.60052
Buchak, Khrystyna; Sakhno, Lyudmyla
2017
Quantifying non-monotonicity of functions and the lack of positivity in signed measures. Zbl 1398.91323
Davydov, Youri; Zitikis, Ričardas
2017
Random iterations of homeomorphisms on the circle. Zbl 1380.37081
Gelfert, Katrin; Stenflo, Örjan
2017
Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set. Zbl 06891748
Chernova, Oksana; Kukush, Alexander
2018
On aggregation of multitype Galton-Watson branching processes with immigration. Zbl 1391.60209
Barczy, Mátyás; Nedényi, Fanni K.; Pap, Gyula
2018
Properties of Poisson processes directed by compound Poisson-gamma subordinators. Zbl 1391.60097
Buchak, Khrystyna; Sakhno, Lyudmyla
2018
The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016
Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro
2015
Approximations for a solution to stochastic heat equation with stable noise. Zbl 1352.60091
Pryhara, Larysa; Shevchenko, Georgiy
2016
European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134
Mishura, Yu.; Rizhniak, G.; Zubchenko, V.
2014
A copula-based bivariate integer-valued autoregressive process with application. Zbl 1426.60037
Buteikis, Andrius; Leipus, Remigijus
2019
Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator. Zbl 1437.60039
Zili, Mounir; Zougar, Eya
2019
Maximum likelihood estimation in the non-ergodic fractional Vasicek model. Zbl 1440.60029
Lohvinenko, Stanislav; Ralchenko, Kostiantyn
2019
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. Zbl 1393.91100
Kievinaitė, Dominyka; Šiaulys, Jonas
2018
Confidence ellipsoids for regression coefficients by observations from a mixture. Zbl 1392.62208
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2018
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions. Zbl 1352.60056
Sottinen, Tommi; Viitasaari, Lauri
2015
Tempered Hermite process. Zbl 1352.60035
2015
Accuracy of discrete approximation for integral functionals of Markov processes. Zbl 1352.60108
Ganychenko, Iurii; Knopova, Victoria; Kulik, Alexei
2015
Ruin probability in the three-seasonal discrete-time risk model. Zbl 1349.91137
Grigutis, Andrius; Korvel, Agneška; Šiaulys, Jonas
2015
Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model $$AX = B$$. Zbl 1419.62167
Kukush, Alexander; Tsaregorodtsev, Yaroslav
2016
Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia
2016
A criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process. Zbl 1349.62384
Kozachenko, Yuriy; Troshki, Viktor
2014
Testing hypotheses on moments by observations from a mixture with varying concentrations. Zbl 1349.62151
Doronin, Alexey; Maiboroda, Rostyslav
2014
Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness. Zbl 1355.60073
El Barrimi, Oussama; Ouknine, Youssef
2016
LAN property for discretely observed solutions to Lévy driven SDE’s. Zbl 1312.60085
Ivanenko, D.; Kulik, A.
2014
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
2020
Consistency of the total least squares estimator in the linear errors-in-variables regression. Zbl 1417.62196
Shklyar, Sergiy
2018
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. Zbl 1417.62158
Böttcher, Björn; Keller-Ressel, Martin; Schilling, René L.
2018
On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables. Zbl 1412.60048
Zolotukhin, Anatolii; Nagaev, Sergei; Chebotarev, Vladimir
2018
On model Fitting and estimation of strictly stationary processes. Zbl 1382.60062
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
2017
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. Zbl 1435.60039
Macheras, Nikolaos D.; Tzaninis, Spyridon M.
2020
Generalized fractional Brownian motion. Zbl 1361.60028
Zili, Mounir
2017
$$\mathbb{L}^p$$ $$(p\geq 2)$$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration. Zbl 1361.60041
Eddahbi, M’hamed; Fakhouri, Imade; Ouknine, Youssef
2017
Approximation of solutions of the stochastic wave equation by using the Fourier series. Zbl 1433.60062
2018
Stochastic models associated to a nonlocal porous medium equation. Zbl 1436.60062
De Gregorio, Alessandro
2018
Large deviations for conditionally Gaussian processes: estimates of level crossing probability. Zbl 1426.60034
Pacchiarotti, Barbara; Pigliacelli, Alessandro
2018
Probability distributions for the run-and-tumble models with variable speed and tumbling rate. Zbl 1426.60116
Angelani, Luca; Garra, Roberto
2018
Cliquet option pricing with Meixner processes. Zbl 1390.91301
Hess, Markus
2018
On backward Kolmogorov equation related to CIR process. Zbl 1391.60141
Mackevičius, Vigirdas; Mongirdaitė, Gabrielė
2018
Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise. Zbl 1391.60100
Ivanov, Alexander V.; Orlovskyi, Igor V.
2018
On closeness of two discrete weighted sums. Zbl 1391.60043
Čekanavičius, Vydas; Vellaisamy, Palaniappan
2018
Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model. Zbl 1349.62072
Ralchenko, Kostiantyn
2015
Autoregressive approaches to import-export time series. I: Basic techniques. Zbl 1359.62363
Di Persio, Luca
2015
On the Feynman-Kac semigroup for some Markov processes. Zbl 1352.60110
Knopova, Victoria
2015
Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059
Mishura, Yuliya; Voronov, Ivan
2015
Fast $$L_2$$-approximation of integral-type functionals of Markov processes. Zbl 1352.60107
Ganychenko, Iurii
2015
Weak approximation rates for integral functionals of Markov processes. Zbl 1352.60109
Ganychenko, Iurii; Kulik, Alexei
2015
Extreme residuals in regression model. Minimax approach. Zbl 1352.60033
Ivanov, Aleksander; Matsak, Ivan; Polotskiy, Sergiy
2015
A multiplicative wavelet-based model for simulation of a random process. Zbl 1352.60053
Turchyn, Ievgen
2015
Minimax interpolation of sequences with stationary increments and cointegrated sequences. Zbl 1351.49026
Luz, Maksym; Moklyachuk, Mikhail
2016
On fractal faithfulness and fine fractal properties of random variables with independent $$Q^*$$-digits. Zbl 1355.11081
Ibragim, Muslem; Torbin, Grygoriy
2016
Simulation paradoxes related to a fractional Brownian motion with small Hurst index. Zbl 1353.65012
Makogin, Vitalii
2016
On spectra of probability measures generated by GLS-expansions. Zbl 1365.11093
Lupain, Marina
2016
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071
Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir
2016
An estimate for an expectation of the simultaneous renewal for time-inhomogeneous Markov chains. Zbl 1355.60097
Golomoziy, Vitaliy
2016
The consistent criteria of hypotheses. Zbl 1308.62117
Aleksidze, L.; Mumladze, M.; Zerakidze, Z.
2014
Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes. Zbl 1396.60091
Kosenkova, T.; Kulik, A.
2014
Strong limit theorems for anisotropic self-similar fields. Zbl 1314.60102
Makogin, V.; Mishura, Yu.
2014
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation. Zbl 1457.60095
Avetisian, Diana; Ralchenko, Kostiantyn
2020
Distance from fractional Brownian motion with associated Hurst index $$0<H<1/2$$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent. Zbl 1468.60046
Banna, Oksana; Buryak, Filipp; Mishura, Yuliya
2020
Prediction in polynomial errors-in-variables models. Zbl 1452.62501
Kukush, Alexander; Senko, Ivan
2020
Statistical inference for nonergodic weighted fractional Vasicek models. Zbl 07450957
Es-Sebaiy, Khalifa; Al-Foraih, Mishari; Alazemi, Fares
2021
Malliavin-Stein method: a survey of some recent developments. Zbl 1476.60044
Azmoodeh, Ehsan; Peccati, Giovanni; Yang, Xiaochuan
2021
Asymptotic normality of modified LS estimator for mixture of nonlinear regressions. Zbl 1473.62235
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2020
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities. Zbl 1412.60047
Ljungdahl, Mathias Mørck; Podolskij, Mark
2018
On the size of the block of 1 for $$\varXi$$-coalescents with dust. Zbl 1382.60109
Freund, Fabian; Möhle, Martin
2017
Logarithmic Lévy process directed by Poisson subordinator. Zbl 1474.60129
2019
Estimates for distribution of suprema of solutions to higher-order partial differential equations with random initial conditions. Zbl 1434.35281
Kozachenko, Yuriy; Orsingher, Enzo; Sakhno, Lyudmyla; Vasylyk, Olga
2020
Stochastic two-species mutualism model with jumps. Zbl 1435.92050
Borysenko, Olga; Borysenko, Oleksandr
2020
Bonus-malus systems with different claim types and varying deductibles. Zbl 1414.91227
Ragulina, Olena
2017
On generalized stochastic fractional integrals and related inequalities. Zbl 1426.26041
Budak, Hüseyin; Sarikaya, Mehmet Zeki
2018
On the infinite divisibility of distributions of some inverse subordinators. Zbl 1426.60018
Kumar, Arun; Nane, Erkan
2018
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
2018
Studies on generalized Yule models. Zbl 1426.60057
Polito, Federico
2018
Existence and uniqueness of mild solution to fractional stochastic heat equation. Zbl 1442.60068
Ralchenko, Kostiantyn; Shevchenko, Georgiy
2018
Ruin probability for the bi-seasonal discrete time risk model with dependent claims. Zbl 1425.91231
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas
2018
The asymptotic error of chaos expansion approximations for stochastic differential equations. Zbl 1439.60054
Huschto, Tony; Podolskij, Mark; Sager, Sebastian
2019
Note on AR(1)-characterisation of stationary processes and model fitting. Zbl 1426.60038
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
2019
The risk model with stochastic premiums and a multi-layer dividend strategy. Zbl 1427.91240
Ragulina, Olena
2019
Statistical inference for nonergodic weighted fractional Vasicek models. Zbl 07450957
Es-Sebaiy, Khalifa; Al-Foraih, Mishari; Alazemi, Fares
2021
Malliavin-Stein method: a survey of some recent developments. Zbl 1476.60044
Azmoodeh, Ehsan; Peccati, Giovanni; Yang, Xiaochuan
2021
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
2020
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. Zbl 1435.60039
Macheras, Nikolaos D.; Tzaninis, Spyridon M.
2020
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation. Zbl 1457.60095
Avetisian, Diana; Ralchenko, Kostiantyn
2020
Distance from fractional Brownian motion with associated Hurst index $$0<H<1/2$$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent. Zbl 1468.60046
Banna, Oksana; Buryak, Filipp; Mishura, Yuliya
2020
Prediction in polynomial errors-in-variables models. Zbl 1452.62501
Kukush, Alexander; Senko, Ivan
2020
Asymptotic normality of modified LS estimator for mixture of nonlinear regressions. Zbl 1473.62235
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2020
Estimates for distribution of suprema of solutions to higher-order partial differential equations with random initial conditions. Zbl 1434.35281
Kozachenko, Yuriy; Orsingher, Enzo; Sakhno, Lyudmyla; Vasylyk, Olga
2020
Stochastic two-species mutualism model with jumps. Zbl 1435.92050
Borysenko, Olga; Borysenko, Oleksandr
2020
Estimation of the drift parameter for the fractional stochastic heat equation via power variation. Zbl 1458.60043
Khalil, Zeina Mahdi; Tudor, Ciprian
2019
Jackknife covariance matrix estimation for observations from mixture. Zbl 1439.62154
Maiboroda, Rostyslav; Sugakova, Olena
2019
A copula-based bivariate integer-valued autoregressive process with application. Zbl 1426.60037
Buteikis, Andrius; Leipus, Remigijus
2019
Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator. Zbl 1437.60039
Zili, Mounir; Zougar, Eya
2019
Maximum likelihood estimation in the non-ergodic fractional Vasicek model. Zbl 1440.60029
Lohvinenko, Stanislav; Ralchenko, Kostiantyn
2019
Logarithmic Lévy process directed by Poisson subordinator. Zbl 1474.60129
2019
The asymptotic error of chaos expansion approximations for stochastic differential equations. Zbl 1439.60054
Huschto, Tony; Podolskij, Mark; Sager, Sebastian
2019
Note on AR(1)-characterisation of stationary processes and model fitting. Zbl 1426.60038
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
2019
The risk model with stochastic premiums and a multi-layer dividend strategy. Zbl 1427.91240
Ragulina, Olena
2019
On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence. Zbl 1442.60073
Golomoziy, Vitaliy
2019
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
2018
Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set. Zbl 06891748
Chernova, Oksana; Kukush, Alexander
2018
On aggregation of multitype Galton-Watson branching processes with immigration. Zbl 1391.60209
Barczy, Mátyás; Nedényi, Fanni K.; Pap, Gyula
2018
Properties of Poisson processes directed by compound Poisson-gamma subordinators. Zbl 1391.60097
Buchak, Khrystyna; Sakhno, Lyudmyla
2018
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. Zbl 1393.91100
Kievinaitė, Dominyka; Šiaulys, Jonas
2018
Confidence ellipsoids for regression coefficients by observations from a mixture. Zbl 1392.62208
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2018
Consistency of the total least squares estimator in the linear errors-in-variables regression. Zbl 1417.62196
Shklyar, Sergiy
2018
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. Zbl 1417.62158
Böttcher, Björn; Keller-Ressel, Martin; Schilling, René L.
2018
On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables. Zbl 1412.60048
Zolotukhin, Anatolii; Nagaev, Sergei; Chebotarev, Vladimir
2018
Approximation of solutions of the stochastic wave equation by using the Fourier series. Zbl 1433.60062
2018
Stochastic models associated to a nonlocal porous medium equation. Zbl 1436.60062
De Gregorio, Alessandro
2018
Large deviations for conditionally Gaussian processes: estimates of level crossing probability. Zbl 1426.60034
Pacchiarotti, Barbara; Pigliacelli, Alessandro
2018
Probability distributions for the run-and-tumble models with variable speed and tumbling rate. Zbl 1426.60116
Angelani, Luca; Garra, Roberto
2018
Cliquet option pricing with Meixner processes. Zbl 1390.91301
Hess, Markus
2018
On backward Kolmogorov equation related to CIR process. Zbl 1391.60141
Mackevičius, Vigirdas; Mongirdaitė, Gabrielė
2018
Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise. Zbl 1391.60100
Ivanov, Alexander V.; Orlovskyi, Igor V.
2018
On closeness of two discrete weighted sums. Zbl 1391.60043
Čekanavičius, Vydas; Vellaisamy, Palaniappan
2018
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities. Zbl 1412.60047
Ljungdahl, Mathias Mørck; Podolskij, Mark
2018
On generalized stochastic fractional integrals and related inequalities. Zbl 1426.26041
Budak, Hüseyin; Sarikaya, Mehmet Zeki
2018
On the infinite divisibility of distributions of some inverse subordinators. Zbl 1426.60018
Kumar, Arun; Nane, Erkan
2018
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
2018
Studies on generalized Yule models. Zbl 1426.60057
Polito, Federico
2018
Existence and uniqueness of mild solution to fractional stochastic heat equation. Zbl 1442.60068
Ralchenko, Kostiantyn; Shevchenko, Georgiy
2018
Ruin probability for the bi-seasonal discrete time risk model with dependent claims. Zbl 1425.91231
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas
2018
Double barrier reflected BSDEs with stochastic Lipschitz coefficient. Zbl 1382.60083
Marzougue, Mohamed; El Otmani, Mohamed
2017
A functional limit theorem for random processes with immigration in the case of heavy tails. Zbl 1368.60036
Marynych, Alexander; Verovkin, Glib
2017
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
2017
The risk model with stochastic premiums, dependence and a threshold dividend strategy. Zbl 1410.91284
Ragulina, Olena
2017
Randomly stopped maximum and maximum of sums with consistently varying distributions. Zbl 1372.60064
Andrulytė, Ieva Marija; Manstavičius, Martynas; Šiaulys, Jonas
2017
Compositions of Poisson and Gamma processes. Zbl 1368.60052
Buchak, Khrystyna; Sakhno, Lyudmyla
2017
Quantifying non-monotonicity of functions and the lack of positivity in signed measures. Zbl 1398.91323
Davydov, Youri; Zitikis, Ričardas
2017
Random iterations of homeomorphisms on the circle. Zbl 1380.37081
Gelfert, Katrin; Stenflo, Örjan
2017
On model Fitting and estimation of strictly stationary processes. Zbl 1382.60062
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
2017
Generalized fractional Brownian motion. Zbl 1361.60028
Zili, Mounir
2017
$$\mathbb{L}^p$$ $$(p\geq 2)$$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration. Zbl 1361.60041
Eddahbi, M&rsquo;hamed; Fakhouri, Imade; Ouknine, Youssef
2017
On the size of the block of 1 for $$\varXi$$-coalescents with dust. Zbl 1382.60109
Freund, Fabian; Möhle, Martin
2017
Bonus-malus systems with different claim types and varying deductibles. Zbl 1414.91227
Ragulina, Olena
2017
Stochastic wave equation in a plane driven by spatial stable noise. Zbl 1352.60092
Pryhara, Larysa; Shevchenko, Georgiy
2016
Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process. Zbl 1352.60041
Marushkevych, Dmytro
2016
Randomly stopped sums with consistently varying distributions. Zbl 1349.60083
Kizinevič, Edita; Sprindys, Jonas; Šiaulys, Jonas
2016
Random convolution of inhomogeneous distributions with $$\mathcal {O}$$-exponential tail. Zbl 1349.60010
Danilenko, Svetlana; Paškauskaitė, Simona; Šiaulys, Jonas
2016
Approximations for a solution to stochastic heat equation with stable noise. Zbl 1352.60091
Pryhara, Larysa; Shevchenko, Georgiy
2016
Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model $$AX = B$$. Zbl 1419.62167
Kukush, Alexander; Tsaregorodtsev, Yaroslav
2016
Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia
2016
Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness. Zbl 1355.60073
El Barrimi, Oussama; Ouknine, Youssef
2016
Minimax interpolation of sequences with stationary increments and cointegrated sequences. Zbl 1351.49026
Luz, Maksym; Moklyachuk, Mikhail
2016
On fractal faithfulness and fine fractal properties of random variables with independent $$Q^*$$-digits. Zbl 1355.11081
Ibragim, Muslem; Torbin, Grygoriy
2016
Simulation paradoxes related to a fractional Brownian motion with small Hurst index. Zbl 1353.65012
Makogin, Vitalii
2016
On spectra of probability measures generated by GLS-expansions. Zbl 1365.11093
Lupain, Marina
2016
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071
Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir
2016
An estimate for an expectation of the simultaneous renewal for time-inhomogeneous Markov chains. Zbl 1355.60097
Golomoziy, Vitaliy
2016
Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
2015
Nonparametric Bayesian inference for multidimensional compound Poisson processes. Zbl 1349.62115
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
2015
A Lundberg-type inequality for an inhomogeneous renewal risk model. Zbl 1414.91157
Andrulytė, Ieva Marija; Bernackaitė, Emilija; Kievinaitė, Dominyka; Šiaulys, Jonas
2015
Linear regression by observations from mixture with varying concentrations. Zbl 1349.62315
Liubashenko, Daryna; Maiboroda, Rostyslav
2015
Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
2015
The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016
Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro
2015
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions. Zbl 1352.60056
Sottinen, Tommi; Viitasaari, Lauri
2015
Tempered Hermite process. Zbl 1352.60035
2015
Accuracy of discrete approximation for integral functionals of Markov processes. Zbl 1352.60108
Ganychenko, Iurii; Knopova, Victoria; Kulik, Alexei
2015
Ruin probability in the three-seasonal discrete-time risk model. Zbl 1349.91137
Grigutis, Andrius; Korvel, Agneška; Šiaulys, Jonas
2015
Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model. Zbl 1349.62072
Ralchenko, Kostiantyn
2015
Autoregressive approaches to import-export time series. I: Basic techniques. Zbl 1359.62363
Di Persio, Luca
2015
On the Feynman-Kac semigroup for some Markov processes. Zbl 1352.60110
Knopova, Victoria
2015
Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059
Mishura, Yuliya; Voronov, Ivan
2015
Fast $$L_2$$-approximation of integral-type functionals of Markov processes. Zbl 1352.60107
Ganychenko, Iurii
2015
Weak approximation rates for integral functionals of Markov processes. Zbl 1352.60109
Ganychenko, Iurii; Kulik, Alexei
2015
Extreme residuals in regression model. Minimax approach. Zbl 1352.60033
Ivanov, Aleksander; Matsak, Ivan; Polotskiy, Sergiy
2015
A multiplicative wavelet-based model for simulation of a random process. Zbl 1352.60053
Turchyn, Ievgen
2015
Rates of approximation of nonsmooth integral-type functionals of Markov processes. Zbl 1349.60126
Ganychenko, Iu.; Kulik, A.
2014
Heat equation with general stochastic measure colored in time. Zbl 1349.60111
2014
Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151
Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr
2014
Asymptotic normality of corrected estimator in Cox proportional hazards model with measurement error. Zbl 1308.62188
Chimisov, C.; Kukush, A.
2014
Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients. Zbl 1309.60061
Kulinich, G.; Kushnirenko, S.
2014
European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134
Mishura, Yu.; Rizhniak, G.; Zubchenko, V.
2014
A criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process. Zbl 1349.62384
Kozachenko, Yuriy; Troshki, Viktor
2014
Testing hypotheses on moments by observations from a mixture with varying concentrations. Zbl 1349.62151
Doronin, Alexey; Maiboroda, Rostyslav
2014
LAN property for discretely observed solutions to Lévy driven SDE’s. Zbl 1312.60085
Ivanenko, D.; Kulik, A.
2014
The consistent criteria of hypotheses. Zbl 1308.62117
Aleksidze, L.; Mumladze, M.; Zerakidze, Z.
2014
Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes. Zbl 1396.60091
Kosenkova, T.; Kulik, A.
2014
...and 1 more Documents
all top 5

### Cited by 291 Authors

 17 Mishura, Yuliya Stepanivna 12 Šiaulys, Jonas 8 Maĭboroda, Rostyslav Yevgenovych 8 Ralchenko, Kostiantyn V. 6 Kukush, Oleksandr Georgiĭovych 6 Radchenko, Vadym Mykolaĭovych 5 Ragulina, Olena 5 Shevchenko, Georgiy M. 5 Sugakova, Olena Volodymyrivna 4 Bodnarchuk, I. M. 4 Gushchin, Aleksandr Aleksandrovich 4 Kulik, Alexey M. 4 Prakasa Rao, B. L. S. 4 Sprindys, Jonas 4 Viitasaari, Lauri 4 Zili, Mounir 4 Zitikis, Ričardas 3 Azmoodeh, Ehsan 3 Chernova, Oksana Oleksandrivna 3 Ganychenko, Iurii 3 Gribkova, Nadezhda Viktorovna 3 Knopova, Victoria Pavlovna 3 Marzougue, Mohamed 3 Sakhno, Lyudmyla Mykhaĭlivna 2 Ascione, Giacomo 2 Barczy, Mátyás 2 Boniece, B. Cooper 2 Böttcher, Björn 2 Danilenko, Svetlana 2 Davydov, Youri 2 De Gregorio, Alessandro 2 del Barrio, Eustasio 2 Di Persio, Luca 2 Didier, Gustavo 2 Doronin, O. V. 2 El Otmani, Mohamed 2 Garra, Roberto 2 Golomoziy, Vitaliy 2 Hallin, Marc 2 Iksanov, Aleksander M. 2 Ilmonen, Pauliina 2 Ivanov, Aleksandr Vladimirovich 2 Jaunė, Eglė 2 Kevei, Péter 2 Kozachenko, Yuriĭ Vasyl’ovych 2 Kuchuk-Iatsenko, Sergii 2 Kulinich, Grygoriĭ L. 2 Kushnirenko, Svitlana V. 2 Leonenko, Nikolai N. 2 Manikin, B. I. 2 Miroshnichenko, Vitalii 2 Munchak, Ye. Yu. 2 Navickienė, Olga 2 Neammanee, Kritsana 2 Ouknine, Youssef 2 Pacchiarotti, Barbara 2 Pap, Gyula 2 Pirozzi, Enrica 2 Piterbarg, Vladimir Il’ich 2 Sabzikar, Farzad 2 Sottinen, Tommi 2 Thäle, Christoph 2 Torbin, Grygoriy Myroslavovych 2 Troshki, Viktor B. 2 Tudor, Ciprian A. 2 Voutilainen, Marko 2 Yurchenko-Tytarenko, Anton 1 Al-Foraih, Mishari 1 Alaffita-Hernández, F. A. 1 Alazemi, Fares 1 Albeverio, Sergio A. 1 Alonso, Sergio 1 Altmeyer, Randolf 1 Andrulytė, Ieva Marija 1 Avetisian, D. A. 1 Avetisian, Diana 1 Barański, Krzysztof 1 Basrak, Bojan 1 Battauz, Anna 1 Beirlant, Jan 1 Bel Hadj Khlifa, Meriem 1 Bernackaitė, Emilija 1 Beta, Carsten 1 Bezborodov, Viktor 1 Bodnarchuk, Iryna 1 Bodnarchuk, S. V. 1 Bogdan, Krzysztof 1 Bohun, Vladyslav 1 Borysenko, Oleksandr Danylovych 1 Borysenko, Olga V. 1 Bouzebda, Salim 1 Bouzeffour, Fethi 1 Bradík, Jaroslav 1 Buchak, Kh. V. 1 Buchak, Khrystyna 1 Buitendag, Sven 1 Buryak, Filipp 1 Buteikis, Andrius 1 Cai, Chunhao 1 Čekanavičius, Vydas ...and 191 more Authors
all top 5

### Cited in 79 Journals

 40 Modern Stochastics. Theory and Applications 36 Theory of Probability and Mathematical Statistics 7 Lithuanian Mathematical Journal 7 Stochastic Processes and their Applications 6 Statistics & Probability Letters 5 Nonlinear Analysis. Modelling and Control 4 Stochastic Analysis and Applications 4 Random Operators and Stochastic Equations 4 Statistical Inference for Stochastic Processes 3 Journal of Theoretical Probability 3 Communications in Statistics. Theory and Methods 3 Electronic Journal of Statistics 2 The Annals of Statistics 2 Applied Mathematics and Computation 2 Journal of Applied Probability 2 Journal of Computational and Applied Mathematics 2 Journal of Mathematical Sciences (New York) 2 Fractional Calculus & Applied Analysis 2 International Journal of Theoretical and Applied Finance 2 Journal of Statistical Theory and Practice 1 Advances in Applied Probability 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Metrika 1 Moscow University Mathematics Bulletin 1 Russian Mathematical Surveys 1 Ukrainian Mathematical Journal 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Collectanea Mathematica 1 Journal of Functional Analysis 1 Journal of Statistical Planning and Inference 1 Mathematische Nachrichten 1 Mathematica Slovaca 1 Metron 1 SIAM Journal on Control and Optimization 1 Insurance Mathematics & Economics 1 Bulletin of the Korean Mathematical Society 1 Statistics 1 Probability Theory and Related Fields 1 Econometric Reviews 1 Asymptotic Analysis 1 MCSS. Mathematics of Control, Signals, and Systems 1 Journal of Statistical Computation and Simulation 1 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Dynamics and Differential Equations 1 SIAM Journal on Optimization 1 Journal of Nonlinear Science 1 Applied and Computational Harmonic Analysis 1 Applicationes Mathematicae 1 Mathematical Methods of Statistics 1 Monte Carlo Methods and Applications 1 Bernoulli 1 Documenta Mathematica 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Informatica (Vilnius) 1 Communications in Contemporary Mathematics 1 Methodology and Computing in Applied Probability 1 Qualitative Theory of Dynamical Systems 1 Brazilian Journal of Probability and Statistics 1 Journal of Evolution Equations 1 Moscow Mathematical Journal 1 Stochastic Models 1 North American Actuarial Journal 1 Journal of Statistical Mechanics: Theory and Experiment 1 Mathematical Biosciences and Engineering 1 Journal of Industrial and Management Optimization 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Advances in Data Analysis and Classification. ADAC 1 Bulletin of the Georgian National Academy of Sciences. New Series 1 Probability Surveys 1 Journal of Probability and Statistics 1 Sankhyā. Series A 1 S$$\vec{\text{e}}$$MA Journal 1 Carpathian Mathematical Publications 1 AIMS Mathematics
all top 5

### Cited in 25 Fields

 147 Probability theory and stochastic processes (60-XX) 76 Statistics (62-XX) 36 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Partial differential equations (35-XX) 6 Systems theory; control (93-XX) 5 Numerical analysis (65-XX) 4 Real functions (26-XX) 4 Measure and integration (28-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Biology and other natural sciences (92-XX) 3 Number theory (11-XX) 3 Special functions (33-XX) 3 Operator theory (47-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Functional analysis (46-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Convex and discrete geometry (52-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) 1 Information and communication theory, circuits (94-XX)