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The Resource Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource)

Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource)

Label
Modern Stochastics and Applications
Title
Modern Stochastics and Applications
Statement of responsibility
edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko
Creator
Contributor
Editor
Subject
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, y 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
IT-FiEUI
http://library.link/vocab/creatorName
Korolyuk, Vladimir V
Image bit depth
0
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Limnios, N.
  • Mishura, Yuliya.
  • Sakhno, Lyudmyla.
  • Shevchenko, Georgiy.
  • SpringerLink (Online service)
Series statement
  • Springer Optimization and Its Applications,
  • Springer eBooks
Series volume
90
http://library.link/vocab/subjectName
  • Mathematics
  • Information systems
  • Matrices
  • Finance
  • Mathematical optimization
  • Distribution (Probability theory)
Label
Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-03512-3
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
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 �-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
978-3-319-03512-3
Dimensions
unknown
Extent
XVII, 349 pages 2 illustrations, 1 illustrations in color.
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319035123
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-3-319-03512-3
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1066475159
Label
Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-03512-3
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
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 �-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
978-3-319-03512-3
Dimensions
unknown
Extent
XVII, 349 pages 2 illustrations, 1 illustrations in color.
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319035123
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-3-319-03512-3
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1066475159

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