Found 204 Documents (Results 1–100)
Sample path large deviations for the multiplicative Poisson shot noise process with compensation. (English) Zbl 1535.60050
Reviewer: Hernando Burgos-Soto (Toronto)
Contraction principle for trajectories of random walks and Cramér’s theorem for kernel-weighted sums. (English) Zbl 1472.60053
A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale. (English) Zbl 1469.60189
Locally Feller processes and martingale local problems. (English) Zbl 1466.60148
Reviewer: Oleg K. Zakusilo (Kyïv)
Answers to some questions about Zadeh’s extension principle on metric spaces. (English) Zbl 1452.54009
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 1453.60098
Tightness and weak convergence of probabilities on the Skorokhod space on the dual of a nuclear space and applications. (English) Zbl 1444.60008
Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology. (English) Zbl 1451.60037
On smooth approximation of Lévy processes in Skorokhod space. (English) Zbl 1498.60171
Chen, Xiaopeng (ed.) et al., Stochastic PDEs and modelling of multiscale complex system. Hackensack, NJ: World Scientific. Interdiscip. Math. Sci. 20, 167-175 (2019).
The Skorokhod representation theorem for Young measures. (English) Zbl 1429.28002
Reviewer: Daniele Puglisi (Catania)
Stability results for martingale representations: the general case. (English) Zbl 1447.60059
Reviewer: Yuliya S. Mishura (Kyïv)
Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. (English) Zbl 1478.60165
Discrete-time trawl processes. (English) Zbl 1488.60243
Joint functional convergence of partial sums and maxima for linear processes. (English) Zbl 1407.60044
Solvability of the nonlinear Dirichlet problem with integro-differential operators. (English) Zbl 1386.60234
Reviewer: Nikolaos Halidias (Athens)
Necessary and sufficient conditions for convergence of first-rare-event-time processes for perturbed semi-Markov processes. (English) Zbl 1390.60270
Theory Probab. Math. Stat. 95, 131-151 (2017) and Teor. Jmovirn. Mat. Stat. 95, 119-137 (2016).
A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line. (English) Zbl 1379.60068
Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services. (English) Zbl 1367.60116
\(\mathrm{G}/\mathrm{G}/\infty\) queues with renewal alternating interruptions. (English) Zbl 1351.60123
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles. (English) Zbl 1342.60113
\(\mathrm{G}/\mathrm{GI}/N (+ \mathrm{GI})\) queues with service interruptions in the Halfin-Whitt regime. (English) Zbl 1344.60088
Reviewer: Hans Daduna (Hamburg)
\(J_1\) convergence of partial sum processes with a reduced number of jumps. (English) Zbl 1325.60039
Particle systems with a singular mean-field self-excitation. Application to neuronal networks. (English) Zbl 1328.60134
Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces. (English) Zbl 1314.60021
Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes. (English) Zbl 1309.60059
Reviewer: Thomas Simon (Lille)
Weak solutions of backward stochastic differential equations with continuous generator. (English) Zbl 1314.60111
MSC:
60H10
A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process. (English) Zbl 1301.60034
Penalization methods for the Skorokhod problem and reflecting SDEs with jumps. (English) Zbl 1296.60152
Reviewer: Andrew Dale (Durban)
MSC:
60H10
Numerical method for reflected backward stochastic differential equations. (English) Zbl 1243.60050
Reviewer: Melvin D. Lax (Long Beach)
Sample path large deviations for order statistics. (English) Zbl 1229.62058
Reviewer: Wiesław Dziubdziela (Kielce)
Weak convergence of the empirical process and the rescaled empirical distribution function in the Skorokhod product space. (English. Russian original) Zbl 1239.60019
Theory Probab. Appl. 54, No. 4, 609-625 (2010) and Teor. Veroyatn. Primen. 54, No. 4, 750-770 (2009).
Reviewer: Hannelore Liero (Potsdam)
On convergence determining and separating classes of functions. (English) Zbl 1210.60011
Reviewer: Renata Macaitiene (Vilnius)
Limit theorems for \(p\)-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data. (English) Zbl 1218.60027
Duan, Jinqiao (ed.) et al., Recent development in stochastic dynamics and stochastic analysis. Dedicated to Zhi-Yuan Zhang on the occasion of his 75th birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4277-25-9/hbk). Interdisciplinary Mathematical Sciences 8, 161-175 (2010).
Reviewer: Nicolas Perkowski (Berlin)
A note on “Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises”. (English) Zbl 1203.62141
First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes. (English) Zbl 1165.60326
Consistencies and rates of convergence of jump-penalized least squares estimators. (English) Zbl 1155.62034
Marcus-Lushnikov processes, Smoluchowski’s and Flory’s models. (English) Zbl 1169.60027
Reviewer: Bo Markussen (Kopenhagen)
Deterministic approximation of a sequence of nearly critical branching processes. (English) Zbl 1154.60070
Reviewer: Marius Iosifescu (Bucureşti)
Scale space consistency of piecewise constant least squares estimators – another look at the regressogram. (English) Zbl 1176.62033
Cator, Eric A. (ed.) et al., Asymptotics: particles, processes and inverse problems. Festschrift for Piet Groeneboom. Papers based on the presentations at the workshop, Delft, The Netherland, July 10–14, 2006. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-71-3/pbk). Institute of Mathematical Statistics Lecture Notes - Monograph Series 55, 65-84 (2007).
Stability of Doob-Meyer decomposition of Hilbert valued semimartingales under extended convergence. (Chinese. English summary) Zbl 1164.60362
Convergence of values in optimal stopping and convergence of optimal stopping times. (English) Zbl 1144.62067
Reviewer: Krzysztof Szajowski (Wrocław)
Limit theorems for sums of heavy-tailed variables with random dependent weights. (English) Zbl 1134.60028
Reviewer: Peter Becker-Kern (Dortmund)
On the probability space. (English) Zbl 1089.60500
Some properties of a new metric on the space of fuzzy numbers. (English) Zbl 1056.54007
Reviewer: Shenggang Li (Xian)
Compactness and convexity on the space of fuzzy sets. II. (English) Zbl 1065.54001
Reviewer: S. Ganguly (Kolkata)
Continuity of functions defined on the space of fuzzy sets. (English) Zbl 1051.54004
Reviewer: S. Ganguly (Kolkata)
MSC:
54A40
Fixed width confidence interval of \(P(X<Y)\) in partial sequential sampling scheme. (English) Zbl 1023.62082
On asymptotic errors in discretization of processes. (English) Zbl 1058.60020
Reviewer: L. Heinrich (Augsburg)
Limit theorems for stochastic processes. 2nd ed. (English) Zbl 1018.60002
Grundlehren der Mathematischen Wissenschaften. 288. Berlin: Springer. xx, 661 p. (2003).
Reviewer: Markus Reiß (Berlin)
Infinitely divisible limit processes for the Ewens sampling formula. (English. Russian original) Zbl 1018.60003
Lith. Math. J. 42, No. 3, 232-242 (2002); translation from Liet. Mat. Rink. 42, No. 3, 294-307 (2002).
Reviewer: Joseph M.Gani (Canberra)
Examples of convergence and non-convergence of Markov chains conditioned not to die. (English) Zbl 1014.60074
Reviewer: Uwe Rösler (Kiel)
Approximation of exceedance processes in large populations. (English) Zbl 0986.60085
Reviewer: Vladimir Vatutin (Moskva)
MSC:
60J80
On weak convergence of filtrations. (English) Zbl 0987.60009
Azéma, Jacques (ed.) et al., Séminaire de Probabilités XXXV. Berlin: Springer. Lect. Notes Math. 1755, 306-328 (2001).
Reviewer: Jun Kawabe (Wakasato)
Weak convergence of laws of stochastic processes on Riemannian manifolds. (English) Zbl 0983.58017
Reviewer: J.Picard (Aubière)
On a functional limit theorem for time series constructed from shot noise processes. (English. Ukrainian original) Zbl 0990.60028
Theory Probab. Math. Stat. 63, 21-25 (2001); translation from Teor. Jmovirn. Mat. Stat. 63, 21-25 (2000).
Reviewer: A.D.Borisenko (Kyïv)
MSC:
60F17
Extremal processes with one jump. (English) Zbl 0976.60046
Reviewer: R.E.Maiboroda (Kyïv)
Convergence in Skorokhod topology for compositions of stochastic processes. (English) Zbl 0973.60029
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 298-306 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
Skorokhod space and Skorokhod topology in probabilistic considerations during 1956–1999. (English) Zbl 0973.60007
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 281-297 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
A remark on Skorokhod topologies for the Skorokhod reflection problem. (English) Zbl 0971.60003
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 126-131 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
An application of Skorokhod’s \(M_1\)-topology. (English) Zbl 0971.60004
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 111-118 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
The origins of Skorokhod’s topology. (English) Zbl 0971.60005
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 61-65 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
On Skorokhod’s convergence. (English) Zbl 0969.60008
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 53-60 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
Limit theorems for stochastic processes. (English) Zbl 0969.60007
Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, 23-52 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
Anatolij Vladimirovich Skorokhod (on his 70th birthday). (English. Ukrainian original) Zbl 0972.01038
Ukr. Math. J. 52, No. 9, 1321-1323 (2000); translation from Ukr. Mat. Zh. 52, No. 9, 1155-1157 (2000).
Reviewer: A.V.Swishchuk (Kyïv)
Some examples and counterexamples of convergence of \(\sigma\)-algebras and filtrations. (English) Zbl 0990.60035
Lith. Math. J. 40, No. 3, 228-235 (2000) and Liet. Mat. Rink. 40, No. 3, 295-306 (2000).
Reviewer: Elisaveta Pancheva (Sofia)
Topological properties on the space of fuzzy sets. (English) Zbl 0986.54012
Reviewer: T.M.G.Ahsanullah (Bangladesh)
The invariance principle for some class of Markov chains. (English. Russian original) Zbl 0966.60065
Theory Probab. Appl. 44, No. 1, 136-139 (1999); translation from Teor. Veroyatn. Primen. 44, No. 1, 151-154 (1999).
Reviewer: B.P.Harlamov (St.Peterburg)
MSC:
60J10
An alternative proof of a theorem of Aldous concerning convergence in distribution for martingales. (English) Zbl 0954.60037
Azéma, Jacques (ed.) et al., Séminaire de probabilités XXXIII. Berlin: Springer. Lect. Notes Math. 1709, 334-338 (1999).
Reviewer: Ferenc Weisz (Budapest)
MSC:
60G44
Unusually large values for spectrally positive stable and related processes. (English) Zbl 0942.60029
Reviewer: S.M.Shkol’nik (Anapa)
MSC:
60G50
On topological properties of the Skorokhod space. (English. Russian original) Zbl 0946.54029
Theory Probab. Appl. 43, No. 4, 640-644 (1998); translation from Teor. Veroyatn. Primen. 43, No. 4, 781-786 (1998).
Reviewer: Alexander V.Bulinskij (Moskva)
A singular perturbation approach for Liptser’s functional limit theorem and some extensions. (English) Zbl 0941.60089
Theory Probab. Math. Stat. 58, 83-87 (1999) and Teor. Jmovirn. Mat. Stat. 58, 76-80 (1998).
Reviewer: Yu.V.Kozachenko (Kyïv)
Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration. (English) Zbl 0932.60047
Reviewer: B.Maslowski (Praha)
Self-similar processes in collective risk theory. (English) Zbl 0937.60029
Reviewer: S.Asmussen (Lund)
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