Del 90 - Springer Optimization and Its Applications

Modern Stochastics and Applications

Inbunden, Engelska, 2014

AvVolodymyr Korolyuk,Nikolaos Limnios,Yuliya Mishura,Lyudmyla Sakhno,Georgiy Shevchenko

1 369 kr

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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.

Produktinformation

Utgivningsdatum2014-02-12
Mått155 x 235 x 26 mm
Vikt717 g
FormatInbunden
SpråkEngelska
SerieSpringer Optimization and Its Applications
Antal sidor349
Upplaga2014
FörlagSpringer International Publishing AG
ISBN9783319035116

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och Ledarskap
Algebra inom Naturvetenskap och teknik
Matematisk statistik inom Naturvetenskap och teknik
Optimering inom Naturvetenskap och teknik
Hårdvara inom Data och IT

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 incovariates (Shklyar).

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