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Wyświetlanie 1-15 z 28
Tytuł:
Tightness of Continuous Stochastic Processes
Autorzy:
Kisielewicz, Michał
Powiązania:
https://bibliotekanauki.pl/articles/729684.pdf
Data publikacji:
2006
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
continuous stochastic processes
weak compactness of sequences of stochastic processes
Opis:
Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2006, 26, 2; 151-162
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Selection theorems for stochastic set-valued integrals
Autorzy:
Kisielewicz, Michał
Powiązania:
https://bibliotekanauki.pl/articles/729908.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
stochastic set-valued integrals
nonanticipated stochastic processes
diagonal convexity
selections
Opis:
Some special selections theorems for stochastic set-valued integrals with respect to the Lebesgue measure are given.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2001, 21, 1; 63-75
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stochastic vortices in periodically reclassified populations
Autorzy:
Guerreiro, Gracinda
Mexia, João
Powiązania:
https://bibliotekanauki.pl/articles/729714.pdf
Data publikacji:
2008
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
Markov chains
stochastic vortices
Opis:
Our paper considers open populations with arrivals and departures whose elements are subject to periodic reclassifications. These populations will be divided into a finite number of sub-populations.
Assuming that:
a) entries, reclassifications and departures occur at the beginning of the time units;
b) elements are reallocated at equally spaced times;
c) numbers of new elements entering at the beginning of the time units are realizations of independent Poisson distributed random variables;
we use Markov chains to obtain limit results for the relative sizes of the sub-populations corresponding to the states of the chain. Namely we will obtain conditions for stability of the relative sizes for transient and recurrent states as well as for all states. The existence of such stability corresponds to the existence of a stochastic structure based either on the transient or on the recurrent states or even on all states. We call these structures stochastic vortices because the structure is maintained despite entrances, departures and reallocations.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2008, 28, 2; 209-227
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Some applications of Girsanovs theorem to the theory of stochastic differential inclusions
Autorzy:
Kisielewicz, Micha
Powiązania:
https://bibliotekanauki.pl/articles/729482.pdf
Data publikacji:
2003
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
stochastic process
Girsanov’s theorem
stochastic differential inclusion
weak solution
Brownian motion
Opis:
The Girsanov's theorem is useful as well in the general theory of stochastic analysis as well in its applications. We show here that it can be also applied to the theory of stochastic differential inclusions. In particular, we obtain some special properties of sets of weak solutions to some type of these inclusions.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2003, 23, 1; 21-29
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Set-valued stochastic integrals and stochastic inclusions in a plane
Autorzy:
Sosulski, Władysław
Powiązania:
https://bibliotekanauki.pl/articles/729310.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
stochastic inclusions in the plane
set-valued random field
two-parameter stochastic process
weak compactness
Opis:
We present the concepts of set-valued stochastic integrals in a plane and prove the existence of a solution to stochastic integral inclusions of the form
$z_{s,t} ∈ φ_{s,t} + ∫_{0}^{s} ∫_{0}^{t} F_{u,v}(z_{u,v})dudv + ∫_{0}^{s} ∫_{0}^{t}G_{u,v}(z_{u,v})dw_{u,v}$
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2001, 21, 2; 249-259
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stochastic differential inclusions of Langevin type on Riemannian manifolds
Autorzy:
Gliklikh, Yuri
Obukhovskiĭ, Andrei
Powiązania:
https://bibliotekanauki.pl/articles/729326.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
stochastic differential inclusions
Langevin equation
Riemannian manifolds
Opis:
We introduce and investigate a set-valued analogue of classical Langevin equation on a Riemannian manifold that may arise as a description of some physical processes (e.g., the motion of the physical Brownian particle) on non-linear configuration space under discontinuous forces or forces with control. Several existence theorems are proved.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2001, 21, 2; 173-190
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On differential equations and inclusions with mean derivatives on a compact manifold
Autorzy:
Azarina, S.
Gliklikh, Yu.
Powiązania:
https://bibliotekanauki.pl/articles/729459.pdf
Data publikacji:
2007
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
mean derivatives
differential inclusions
stochastic processes on manifolds
Opis:
We introduce and investigate a new sort of stochastic differential inclusions on manifolds, given in terms of mean derivatives of a stochastic process, introduced by Nelson for the needs of the so called stochastic mechanics. This class of stochastic inclusions is ideologically the closest one to ordinary differential inclusions. For inclusions with forward mean derivatives on manifolds we prove some results on the existence of solutions.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2007, 27, 2; 385-397
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On risk reserve under distribution constraints
Autorzy:
Michta, Mariusz
Powiązania:
https://bibliotekanauki.pl/articles/729878.pdf
Data publikacji:
2000
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
martingales
stochastic equations
reserve process
Girsanov`s theorem
viability
Opis:
The purpose of this work is a study of the following insurance reserve model:
$R(t) = η + ∫_{0}^{t} p(s,R(s))ds + ∫_{0}^{t} σ(s,R(s))dW_{s} - Z(t)$, t ∈ [0,T],
P(η ≥ c) ≥ 1-ϵ, ϵ ≥ 0.
Under viability-type assumptions on a pair (p,σ) the estimation γ with the property: $inf_{0≤t≤T} P{R(t) ≥ c} ≥ γ$ is considered.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2000, 20, 2; 249-260
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Properties of generalized set-valued stochastic integrals
Autorzy:
Kisielewicz, Michał
Powiązania:
https://bibliotekanauki.pl/articles/729558.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
set-valued mappings
set-valued integrals
set-valued stochastic processes
Opis:
The paper is devoted to properties of generalized set-valued stochastic integrals defined in [10]. These integrals generalize set-valued stochastic integrals defined by E.J. Jung and J.H. Kim in the paper [4]. Up to now we were not able to construct any example of set-valued stochastic processes, different on a singleton, having integrably bounded set-valued integrals defined in [4]. It was shown by M. Michta (see [11]) that in the general case set-valued stochastic integrals defined by E.J. Jung and J.H. Kim, are not integrably bounded. Generalized set-valued stochastic integrals, considered in the paper, are in some non-trivial cases square integrably bounded and can be applied in the theory of stochastic differential equations with set-valued solutions.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2014, 34, 1; 131-147
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Existence of solutions for second order stochastic differential inclusions in Hilbert spaces
Autorzy:
Balasubramaniam, P.
Ntouyas, S.
Powiązania:
https://bibliotekanauki.pl/articles/729455.pdf
Data publikacji:
2007
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
existence
multivalued map
stochastic differential inclusions
fixed point
Hilbert space
Opis:
In this paper, sufficient conditions are given for the existence of solutions for a class of second order stochastic differential inclusions in Hilbert space with the help of Leray-Schauder Nonlinear Alternative.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2007, 27, 2; 365-384
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
An alternative approach to bonus malus
Autorzy:
Guerreiro, Gracinda
Mexia, João
Powiązania:
https://bibliotekanauki.pl/articles/729776.pdf
Data publikacji:
2004
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
bonus malus
stochastic vortices
long run distribution
optimal bonus scales
Opis:
Under the assumptions of an open portfolio, i.e., considering that a policyholder can transfer his policy to another insurance company and the continuous arrival of new policyholders into a portfolio which can be placed into any of the bonus classes and not only in the "starting class", we developed a model (Stochastic Vortices Model) to estimate the Long Run Distribution for a Bonus Malus System. These hypothesis render the model quite representative of the reality.
With the obtained Long Run Distribution, a few optimal bonus scales were calculated, such as Norberg's (1979), Borgan, Hoem's and Norberg's (1981), Gilde and Sundt's (1989) and Andrade e Silva's (1991).
To compare our results, since this was the first application of the model, we used the Classic Model for Bonus Malus and the Open Model developed by Centeno and Andrade e Silva (2001).
The results of the Stochastic Vortices and the Open Modelare highly similar and quite different from those of the Classic Model. Besides this the distribution of policyholders in the various bonus classes was derived assuming that the entrances followed adequatestochastic models.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2004, 24, 2; 197-213
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A general class of McKean-Vlasov stochastic evolution equations driven by Brownian motion and Lèvy process and controlled by Lèvy measure
Autorzy:
Ahmed, N.
Powiązania:
https://bibliotekanauki.pl/articles/729570.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
McKean-Vlasov stochastic differential equation
Hilbert spaces
existence of optimal controls
Opis:
In this paper we consider McKean-Vlasov stochastic evolution equations on Hilbert spaces driven by Brownian motion and L`evy process and controlled by L`evy measures. We prove existence and uniqueness of solutions and regularity properties thereof. We consider weak topology on the space of bounded Le´vy measures on infinite dimensional Hilbert space and prove continuous dependence of solutions with respect to the Le´vy measure. Then considering a certain class of Le´vy measures on infinite as well as finite dimensional Hilbert spaces, as relaxed controls, we prove existence of optimal controls for Bolza problem and some simple mass transport problems
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2016, 36, 2; 181-206
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Optimal control of ∞-dimensional stochastic systems via generalized solutions of HJB equations
Autorzy:
Ahmed, N.
Powiązania:
https://bibliotekanauki.pl/articles/729348.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
optimal control
stochastic systems
infinite dimension
HJB equation
stationary feedback control
Opis:
In this paper, we consider optimal feedback control for stochastc infinite dimensional systems. We present some new results on the solution of associated HJB equations in infinite dimensional Hilbert spaces. In the process, we have also developed some new mathematical tools involving distributions on Hilbert spaces which may have many other interesting applications in other fields. We conclude with an application to optimal stationary feedback control.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2001, 21, 1; 97-126
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Optimal control of impulsive stochastic evolution inclusions
Autorzy:
Ahmed, N.
Powiązania:
https://bibliotekanauki.pl/articles/729552.pdf
Data publikacji:
2002
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
impulsive perturbations
C₀-semigroups
stochastic systems
differential inclusions
vector measures
optimal controls
Opis:
In this paper, we consider a class of infinite dimensional stochastic impulsive evolution inclusions driven by vector measures. We use stochastic vector measures as controls adapted to an increasing family of complete sigma algebras and prove the existence of optimal controls.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2002, 22, 2; 155-184
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Existence and controllability of fractional-order impulsive stochastic system with infinite delay
Autorzy:
Guendouzi, Toufik
Powiązania:
https://bibliotekanauki.pl/articles/729324.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
existence result
approximate controllability
fractional stochastic differential equations
resolvent operators
infinite delay
Opis:
This paper is concerned with the existence and approximate controllability for impulsive fractional-order stochastic infinite delay integro-differential equations in Hilbert space. By using Krasnoselskii's fixed point theorem with stochastic analysis theory, we derive a new set of sufficient conditions for the approximate controllability of impulsive fractional stochastic system under the assumption that the corresponding linear system is approximately controllable. Finally, an example is provided to illustrate the obtained theory.
Źródło:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2013, 33, 1; 65-87
1509-9407
Pojawia się w:
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 28

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