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The Resource Modern stochastics and applications, Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, editors

Modern stochastics and applications, Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, editors

Editor
Contributor
Summary
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 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
Language
eng
Work
Publication
Extent
1 online resource (xvii, 349 pages)
Contents
  • Part I: Probability Distributions in Applications.-Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch)
  • Application of [phi]-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)
Isbn
9783319035116
Instance
Label
Modern stochastics and applications
Title
Modern stochastics and applications
Statement of responsibility
Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, editors
Contributor
Editor
Subject
Genre
Language
eng
Summary
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 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
Member of
Cataloging source
GW5XE
Dewey number
519.2/3
Illustrations
illustrations
Index
no index present
LC call number
QA274.A1
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
2012
http://library.link/vocab/relatedWorkOrContributorName
  • Korolyuk, Vladimir V.
  • International Conference "Modern Stochastics: Theory and Applications"
Series statement
Springer Optimization and Its Applications,
Series volume
volume 90
http://library.link/vocab/subjectName
  • Stochastic processes
  • Mathematics
  • 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
  • MATHEMATICS
  • MATHEMATICS
  • Stochastic processes
  • Stochastischer Prozess
Label
Modern stochastics and applications, Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, editors
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Probability Distributions in Applications.-Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch) -- Application of [phi]-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)
Control code
870304818
Dimensions
unknown
Extent
1 online resource (xvii, 349 pages)
File format
unknown
Form of item
online
Isbn
9783319035116
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-03512-3
Other physical details
illustrations (some color)
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)870304818
Label
Modern stochastics and applications, Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, editors
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Probability Distributions in Applications.-Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch) -- Application of [phi]-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)
Control code
870304818
Dimensions
unknown
Extent
1 online resource (xvii, 349 pages)
File format
unknown
Form of item
online
Isbn
9783319035116
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-03512-3
Other physical details
illustrations (some color)
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)870304818

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