LEADER 06693nam 22009015 450 001 9910300152803321 005 20251202141002.0 010 $a3-319-03512-6 024 7 $a10.1007/978-3-319-03512-3 035 $a(CKB)3710000000085771 035 $a(SSID)ssj0001178821 035 $a(PQKBManifestationID)11701667 035 $a(PQKBTitleCode)TC0001178821 035 $a(PQKBWorkID)11169173 035 $a(PQKB)10294149 035 $a(MiAaPQ)EBC1698506 035 $a(DE-He213)978-3-319-03512-3 035 $a(PPN)176108033 035 $a(EXLCZ)993710000000085771 100 $a20140130d2014 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aModern Stochastics and Applications /$fedited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko 205 $a1st ed. 2014. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2014. 215 $a1 online resource (352 pages) 225 1 $aSpringer Optimization and Its Applications,$x1931-6836 ;$v90 300 $a"Contains contributed papers of selected speakers of the International Conference "Modern Stochastics: Theory and Applications III.", held on September 10-14, 2012, at Taras Shevchenko National University of Kyiv, Ukraine"--Preface. 311 08$a3-319-03511-8 320 $aIncludes bibliographical references at the end of each chapters. 327 $aPart I: Probability Distributions in Applications.-Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch) -- Application of ?-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 incovariates (Shklyar). 330 $aThis volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a  great source of inspiration for designing new algorithms, modeling procedures, and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas, and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics, and economics. Contributions to this Work include those of selected speakers from the international conference entitled ?Modern Stochastics: Theory and Applications III,?  held on September 10 ?14, 2012 at Taras Shevchenko National University of Kyiv, Ukraine. The conference covered the following areas of research in probability theory and its applications: stochastic analysis, stochastic processes and fields, random matrices, optimization methods in probability, stochastic models of evolution systems, financial mathematics, risk processes and actuarial mathematics, and information security. . 410 0$aSpringer Optimization and Its Applications,$x1931-6836 ;$v90 606 $aMathematical optimization 606 $aCalculus of variations 606 $aProbabilities 606 $aAlgebras, Linear 606 $aComputer networks 606 $aActuarial science 606 $aSocial sciences$xMathematics 606 $aCalculus of Variations and Optimization 606 $aProbability Theory 606 $aLinear Algebra 606 $aComputer Communication Networks 606 $aActuarial Mathematics 606 $aMathematics in Business, Economics and Finance 615 0$aMathematical optimization. 615 0$aCalculus of variations. 615 0$aProbabilities. 615 0$aAlgebras, Linear. 615 0$aComputer networks. 615 0$aActuarial science. 615 0$aSocial sciences$xMathematics. 615 14$aCalculus of Variations and Optimization. 615 24$aProbability Theory. 615 24$aLinear Algebra. 615 24$aComputer Communication Networks. 615 24$aActuarial Mathematics. 615 24$aMathematics in Business, Economics and Finance. 676 $a519.23 686 $a510$2sdnb 686 $aSK 820$2rvk 702 $aKorolyuk$b Volodymyr$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aLimnios$b Nikolaos$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aMishura$b Yuliya$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aSakhno$b Lyudmyla$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aShevchenko$b Georgiy$4edt$4http://id.loc.gov/vocabulary/relators/edt 712 12$aInternational Conference "Modern Stochastics: Theory and Applications"$d(3rd :$f2012 :$eKyi?vs?kyi? nat?s?ional?nyi? universytet imeni Tarasa Shevchenka) 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910300152803321 996 $aModern stochastics and applications$91410224 997 $aUNINA