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)
Resource Information
The item Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Modern Stochastics and Applications, edited by Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 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
 Language
 eng
 Extent
 XVII, 349 pages 2 illustrations, 1 illustrations in color.
 Contents

 Part I: Probability Distributions in Applications.Comparing Brownian stochastic integrals for the convex order (Yor, Hirsch)
 Application of �subGaussian random processes in queueing theory (Kozachenko, Yamnenko)
 A review on timechanged 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)
 Finitetime blowup and existence of global positive solutions of semilinear SPDE's with fractional noise (Dozzi, Kolkovska, LópezMimbela)
 Hydrodynamics and SDE with Sobolev coefficients (Fang)
 Elementary pathwise methods for nonlinear 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 multidimensional 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
 9783319035123
 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
 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
 Cataloging source
 ITFiEUI
 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)
 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 �subGaussian random processes in queueing theory (Kozachenko, Yamnenko)  A review on timechanged 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)  Finitetime blowup and existence of global positive solutions of semilinear SPDE's with fractional noise (Dozzi, Kolkovska, LópezMimbela)  Hydrodynamics and SDE with Sobolev coefficients (Fang)  Elementary pathwise methods for nonlinear 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 multidimensional 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
 9783319035123
 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, noncommercial 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
 10.1007/9783319035123
 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)
 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 �subGaussian random processes in queueing theory (Kozachenko, Yamnenko)  A review on timechanged 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)  Finitetime blowup and existence of global positive solutions of semilinear SPDE's with fractional noise (Dozzi, Kolkovska, LópezMimbela)  Hydrodynamics and SDE with Sobolev coefficients (Fang)  Elementary pathwise methods for nonlinear 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 multidimensional 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
 9783319035123
 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, noncommercial 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
 10.1007/9783319035123
 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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