Temat: stochastic integrals - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion
Autorzy:: Janicki, Aleksander
Powiązania:: https://bibliotekanauki.pl/articles/1338939.pdf
Data publikacji:: 1999
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: stochastic integrals
α-stable Lévy motion
convergence rates
stochastic processes with jumps
Poissonian series representation
Opis:: We present a method of numerical approximation for stochastic integrals involving α-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts.
Źródło:: Applicationes Mathematicae; 1998-1999, 25, 4; 473-488
1233-7234
Pojawia się w:: Applicationes Mathematicae
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

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

Skocz do pozycji: 3.

Tytuł:: Some properties of set-valued stochastic integrals of multiprocesses with finite Castaing representations
Autorzy:: Kisielewicz, Michał
Powiązania:: https://bibliotekanauki.pl/articles/744945.pdf
Data publikacji:: 2013
Wydawca:: Polskie Towarzystwo Matematyczne
Tematy:: set-valued mappings, set-valued integrals, set-valued stochastic processes
Opis:: The paper contains new properties of set-valued stochastic integrals defined as multifunctions with subtrajectory integrals equal to closed decomposable hulls of functional set-valued integrals defined in the author paper [8]. In particular, it is proved that such defined integrals for set-valued predictable square integrably bounded processes having finite Castaing representations are square integrably bounded. Up to now this property has not been proved. Unfortunately, in the general case the above boundedness problem is still open.
Źródło:: Commentationes Mathematicae; 2013, 53, 2
0373-8299
Pojawia się w:: Commentationes Mathematicae
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

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

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