Modern Stochastics and Applications

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Korolyuk, Volodymyr (Επιμελητής έκδοσης), Limnios, Nikolaos (Επιμελητής έκδοσης), Mishura, Yuliya (Επιμελητής έκδοσης), Sakhno, Lyudmyla (Επιμελητής έκδοσης), Shevchenko, Georgiy (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Σειρά: Springer Optimization and Its Applications, 90
• Θέματα: Mathematics.; Computers.; Matrix theory.; Algebra.; Economics, Mathematical.; Actuarial science.; Calculus of variations.; Probabilities.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.; Linear and Multilinear Algebras, Matrix Theory.; Information Systems and Communication Service.; Actuarial Sciences.; Quantitative Finance.

This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a  great source of inspiration for designing new algorithms, modeling procedures, and experiments. Accessible to researchers, practitioners, as well as graduate an...

Πίνακας περιεχομένων:

• Part I: Probability Distributions in Applications.-Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch)
• Application of φ-sub-Gaussian random processes in queueing theory (Kozachenko, Yamnenko)
• A review on time-changed pseudo processes and the related distributions (Orsingher)
• Reciprocal processes: a stochastic analysis approach (Roelly). Part II: Stochastic Equations
• Probabilistic counterparts of nonlinear parabolic PDE systems (Belopolskaya)
• Finite-time blowup and existence of global positive solutions of semilinear SPDE’s with fractional noise (Dozzi, Kolkovska, López-Mimbela)
• Hydrodynamics and SDE with Sobolev coefficients (Fang)
• Elementary pathwise methods for non-linear parabolic and transport type SPDE with fractal noise (Hinz, Issoglio, Zähle)
• SPDE’s driven by general stochastic measures (Radchenko). Part III: Limit Theorems
• Exponential convergence of multi-dimensional stochastic mechanical systems with switching (Anulova, Veretennikov)
• Asymptotic behaviour of the distribution density of the fractional Lévy motion (Kulik, Knopova).-Large deviations for random evolutions in the scheme of asymptotically small diffusion (Koroliuk, Samoilenko)
• Limit theorems for excursion sets of stationary random fields (Spodarev). Part IV: Finance and Risk
• Ambit processes, their volatility determination and their applications (Corcuera, Farkas, Valdivia)
• Some functional analytic tools for utility maximization (Gushchin, Khasanov, Morozov)
• Maximization of the survival probability by franchise and deductible amounts in the classical risk model (Ragulina).Part V: Statistics.-Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion ( Mishura, Ralchenko, Seleznev, Shevchenko)
• Minimum contrast method for parameter estimation in the spectral domain (Sakhno)
• Conditional estimators in exponential regression with errors in covariates (Shklyar).