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Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations [[electronic resource] /] / by Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura
| Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations [[electronic resource] /] / by Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura |
| Autore | Kulinich Grigorij |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (XV, 240 p. 4 illus., 2 illus. in color.) |
| Disciplina | 519.2 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Dynamics Ergodic theory Differential equations Functional analysis Partial differential equations Probability Theory and Stochastic Processes Dynamical Systems and Ergodic Theory Ordinary Differential Equations Functional Analysis Partial Differential Equations |
| ISBN | 3-030-41291-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction to Unstable Processes and Their Asymptotic Behavior -- Convergence of Unstable Solutions of SDEs to Homogeneous Markov Processes with Discontinuous Transition Density -- Asymptotic Analysis of Equations with Ergodic and Stochastically Unstable Solutions -- Asymptotic Behavior of Integral Functionals of Stochastically Unstable Solutions -- Asymptotic Behavior of Homogeneous Additive Functionals Defined on the Solutions of Itô SDEs with Non-regular Dependence on a Parameter -- Asymptotic Behavior of Homogeneous Additive Functionals of the Solutions to Inhomogeneous Itô SDEs with Non-regular Dependence on a Parameter -- A Selected Facts and Auxiliary Results -- References. |
| Record Nr. | UNISA-996418186803316 |
Kulinich Grigorij
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / / by Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura
| Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / / by Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura |
| Autore | Kulinich Grigorij |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (XV, 240 p. 4 illus., 2 illus. in color.) |
| Disciplina | 519.2 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Dynamics Ergodic theory Differential equations Functional analysis Partial differential equations Probability Theory and Stochastic Processes Dynamical Systems and Ergodic Theory Ordinary Differential Equations Functional Analysis Partial Differential Equations |
| ISBN | 3-030-41291-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction to Unstable Processes and Their Asymptotic Behavior -- Convergence of Unstable Solutions of SDEs to Homogeneous Markov Processes with Discontinuous Transition Density -- Asymptotic Analysis of Equations with Ergodic and Stochastically Unstable Solutions -- Asymptotic Behavior of Integral Functionals of Stochastically Unstable Solutions -- Asymptotic Behavior of Homogeneous Additive Functionals Defined on the Solutions of Itô SDEs with Non-regular Dependence on a Parameter -- Asymptotic Behavior of Homogeneous Additive Functionals of the Solutions to Inhomogeneous Itô SDEs with Non-regular Dependence on a Parameter -- A Selected Facts and Auxiliary Results -- References. |
| Record Nr. | UNINA-9910483172303321 |
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Kulinich Grigorij
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others]
| Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others] |
| Autore | Banna Oksana |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (293 pages) |
| Disciplina | 530.475 |
| Soggetto topico |
Brownian motion processes
Martingales (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-47677-1
1-119-61033-8 1-119-61034-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910555094403321 |
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Banna Oksana
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| Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others]
| Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others] |
| Autore | Banna Oksana |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (293 pages) |
| Disciplina | 530.475 |
| Soggetto topico |
Brownian motion processes
Martingales (Mathematics) |
| ISBN |
1-119-47677-1
1-119-61033-8 1-119-61034-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910830236503321 |
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Banna Oksana
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| Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Modern Stochastics and Applications / / edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko
| Modern Stochastics and Applications / / edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (352 pages) |
| Disciplina | 519.23 |
| Collana | Springer Optimization and Its Applications |
| Soggetto topico |
Calculus of variations
Probabilities Matrix theory Algebra Computers Actuarial science Economics, Mathematical 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 |
| Soggetto genere / forma | Conference proceedings. |
| ISBN | 3-319-03512-6 |
| Classificazione |
510
SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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). |
| Record Nr. | UNINA-9910300152803321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Parameter Estimation in Fractional Diffusion Models / / by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
| Parameter Estimation in Fractional Diffusion Models / / by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko |
| Autore | Kubilius Kęstutis |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XIX, 390 p. 17 illus., 2 illus. in color.) |
| Disciplina | 530.475 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Statistics Probability Theory and Stochastic Processes Statistical Theory and Methods |
| ISBN | 3-319-71030-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Description and properties of the basic stochastic models -- 2 The Hurst index estimators for a fractional Brownian motion -- 3 Estimation of the Hurst index from the solution of a stochastic differential equation -- 4 Parameter estimation in the mixed models via power variations -- 5 Drift parameter estimation in diffusion and fractional diffusion models -- 6 The extended Orey index for Gaussian processes -- 7 Appendix A: Selected facts from mathematical and functional analysis -- 8 Appendix B: Selected facts from probability, stochastic processes and stochastic calculus. |
| Record Nr. | UNINA-9910255456703321 |
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Kubilius Kęstutis
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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