scientific article

zbMath0728.60048MaRDI QIDQ3995465

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 17 September 1992

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

weak convergenceDoob-Meyer decompositionstochastic calculusLévy measurediffusion approximationsstochastic integrallocal martingalesprocess with stationary independent incrementsstochastic exponentsmartingale characterization of semimartingalesDonsker type invariance principlessquare- integrable martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Convergence of probability measures (60B10) Limit theorems in probability theory (60F99) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items

Practical stability of stochastic delay evolution equations ⋮ Large deviations for Markov-modulated diffusion processes with rapid switching ⋮ Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation ⋮ Bahadur representations of M-estimators and their applications in general linear models ⋮ The asymptotic normality of internal estimator for nonparametric regression ⋮ Estimating the parameters of distributed productive just-in-time systems ⋮ On some properties of space inverses of stochastic flows ⋮ Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay ⋮ Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes ⋮ Robust stability of a class of stochastic functional differential equations with Markovian switching ⋮ Input-to-state stability of linear stochastic functional differential equations ⋮ On the quantum theory of measurements continuous in time ⋮ The method of stochastic exponentials for large deviations ⋮ Spectral characterization of the optimal quadratic variation process ⋮ The \(p\)th moment asymptotic stability and exponential stability of stochastic functional differential equations with polynomial growth condition ⋮ Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method ⋮ Exponential stability of Itô-type linear functional difference equations ⋮ Mixed Gaussian processes: a filtering approach ⋮ On large deviations of coupled diffusions with time scale separation ⋮ Stability analysis of stochastic Ricker population model, ⋮ On moderate deviations for martingales ⋮ On delay-dependent stability for a class of nonlinear stochastic delay-differential equations ⋮ On classical solutions of linear stochastic integro-differential equations ⋮ Nonlinear filtering with correlated Lévy noise characterized by copulas ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Almost sure exponential stability of neutral stochastic differential difference equations ⋮ Asymptotic stability and boundedness of stochastic functional differential equations with Markovian switching ⋮ A filtering approach to tracking volatility from prices observed at random times ⋮ Statistical inference for SPDEs: an overview ⋮ Dynamic analysis of stochastic Cohen-Grossberg neural networks with time delays ⋮ Beneš condition for a discontinuous exponential martingale ⋮ Likely path to extinction in simple branching models with large initial population ⋮ Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation ⋮ Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme ⋮ Multiparameter stochastic dynamics of ecological tourism system with continuous visitor education interventions ⋮ Limit theorems for iteration stable tessellations ⋮ Nonlinear filtering problem with contamination ⋮ Systems with large flexible server pools: instability of ``natural load balancing ⋮ Parameter estimation for a special class of Markov chains ⋮ Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes ⋮ Consensus seeking in multi-agent systems with multiplicative measurement noises ⋮ Asymptotic behavior of truncated stochastic approximation procedures ⋮ \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion ⋮ On distibutions of first passage times of martingales arising in some gambling problems ⋮ Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation ⋮ The asymptotic stability and exponential stability of nonlinear stochastic differential systems with Markovian switching and with polynomial growth ⋮ Almost sure state estimation with \(H_2\)-type performance constraints for nonlinear hybrid stochastic systems ⋮ On rate control of \(n\)-link manipulator robot ⋮ Recursive parameter estimation: asymptotic expansion ⋮ \(L_{p}\)-estimators in ARCH models ⋮ Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Optimal mean-square state and parameter estimation for stochastic linear systems with Poisson noises ⋮ Almost sure permanence of stochastic single species models ⋮ Almost sure asymptotical adaptive synchronization for neutral-type neural networks with stochastic perturbation and Markovian switching ⋮ Robust stability and controllability of stochastic differential delay equations with Markovian switching. ⋮ Ruin probabilities of a bidimensional risk model with investment ⋮ Sufficient conditions on the exponential stability of neutral stochastic differential equations with time-varying delays ⋮ Lasalle-type theorems for general nonlinear stochastic functional differential equations by multiple Lyapunov functions ⋮ The almost sure asymptotic stability and boundedness of stochastic functional differential equations with polynomial growth condition ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations ⋮ The augmented multiplicative coalescent, bounded size rules and critical dynamics of random graphs ⋮ Finite time extinction of solutions to fast diffusion equations driven by linear multiplicative noise ⋮ Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching ⋮ Finite-time stability and instability of stochastic nonlinear systems ⋮ Characterization of density processes of deformed stochastic bases of the first kind ⋮ Exponential stability of numerical solution to neutral stochastic functional differential equation ⋮ Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks ⋮ Estimating parameters of diffusion process with unreachable boundary ⋮ Adaptive control in the scalar linear-quadratic model in continuous time ⋮ An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve ⋮ Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility ⋮ Stabilization of stochastic parabolic equations with boundary-noise and boundary-control ⋮ Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations ⋮ Stability analysis for neutral stochastic delay systems with Markovian switching ⋮ Concentration inequalities for matrix martingales in continuous time ⋮ Change point detection in network models: preferential attachment and long range dependence ⋮ On the Burkholder-Davis-Gundy inequalities for continuous martingales ⋮ On pathwise behavior of queues ⋮ Limit non-stationary behavior of large closed queueing networks with bottlenecks ⋮ Exponential and almost sure exponential stability of stochastic fuzzy delayed Cohen-Grossberg neural networks ⋮ On the limit law of a random walk conditioned to reach a high level ⋮ On guaranteed parameter estimation of a multiparameter linear regression process ⋮ FCLT and MDP for stochastic Lotka-Volterra model ⋮ Stochastic versions of the LaSalle theorem ⋮ A Donsker-type theorem for log-likelihood processes ⋮ State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits ⋮ The \(G/GI/N\) queue in the Halfin-Whitt regime ⋮ An approximation of a nonlinear integral equation driven by a function of bounded \(p\)-variation ⋮ LaSalle-type theorems for stochastic differential delay equations ⋮ Pricing contingent claims on stocks driven by Lévy processes ⋮ On functional limit theorems for solutions of stochastic equations ⋮ Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes ⋮ On diffusion approximations for filtering ⋮ A note on the LaSalle-type theorems for stochastic differential delay equations ⋮ Stability theorem for stochastic differential equations with jumps ⋮ Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions ⋮ Parameter estimation for nearly nonstationary AR(1) processes ⋮ Law of large numbers and central limit theorem for randomly forced PDE's ⋮ Asymptotic analysis and extinction in a stochastic Lotka-Volterra model ⋮ Weak convergence of some classes of martingales with jumps. ⋮ A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services ⋮ Martingale transforms goodness-of-fit tests in regression models. ⋮ The improved LaSalle-type theorems for stochastic functional differential equations ⋮ Homogenization of random parabolic operator with large potential. ⋮ On Bernstein-type inequalities for martingales. ⋮ On averaging principle for diffusion processes with null-recurrent fast component. ⋮ Deviation inequalities for martingales with applications ⋮ LMI approach to exponential stability and almost sure exponential stability for stochastic fuzzy Markovian-jumping Cohen-Grossberg neural networks with nonlinear \(p\)-Laplace diffusion ⋮ The Improved LaSalle-Type Theorems for Stochastic Differential Delay Equations ⋮ Local asymptotic quadraticity of stochastic process models based on stopping times ⋮ On infinitely divisible semimartingales ⋮ Constructing quantum measurement processes via classical stochastic calculus ⋮ A continuous-time asset market game with short-lived assets ⋮ A counting process approach to stochastic interest ⋮ A mathematical model for turbulent transport through thin randomly oscillating layers surrounding a fixed domain ⋮ On the \(M_t/M_t/K_t + M_t\) queue in heavy traffic ⋮ The effects of health histories on stochastic process models of aging and mortality ⋮ Further applications of a general rate conservation law ⋮ Asymptotic stability of stochastic age-dependent population equations with Markovian switching ⋮ Dynamic threshold probe of stochastic SIR model with saturated incidence rate and saturated treatment function ⋮ On dissipative stochastic equations in a Hilbert space ⋮ Critical percolation on scale-free random graphs: new universality class for the configuration model ⋮ \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations ⋮ Parameter estimation in CKLS model by continuous observations ⋮ Stability of hybrid pantograph stochastic functional differential equations ⋮ Poisson approximation of processes with locally independent increments and Markov switching ⋮ Asymptotic behavior of solutions to the three-dimensional stochastic Leray-\( \alpha\) model ⋮ On asymptotic convergence and boundedness of stochastic systems with time-delay ⋮ Kalman type filter under stationary noises ⋮ Analysis of stochastic Nicholson-type delay system under Markovian switching on patches ⋮ Ergodic control for Lévy-driven linear stochastic equations in Hilbert spaces ⋮ Adaptive output-feedback control for exponential regulation ⋮ Adaptive estimation of the conditional intensity of marker-dependent counting processes ⋮ Qualitative analysis of stochastically perturbed SIRS epidemic model with two viruses ⋮ New criteria on exponential stability of neutral stochastic differential delay equations ⋮ A truncated estimation method with guaranteed accuracy ⋮ ``Trees under attack: a Ray-Knight representation of Feller's branching diffusion with logistic growth ⋮ Exponential synchronization of delayed neutral-type neural networks with Lévy noise under non-Lipschitz condition ⋮ Remarks on moment inequalities and identities for martingales ⋮ High-dimensional additive hazards models and the lasso ⋮ Estimation of the Malthusian parameter in an stochastic epidemic model using martingale methods ⋮ On the number of isolated vertices in a growing random graph ⋮ General approach to filtering with fractional brownian noises — application to linear systems ⋮ Asymptotic properties of nearly unstable multivariate AR processes. ⋮ Diffusion approximation of branching processes in semi-Markov environment ⋮ Present value distributions with applications to ruin theory and stochastic equations ⋮ Estimation of parameters of linear homogeneous stochastic differential equations ⋮ On the recursive parameter estimation in the general discrete time statistical model ⋮ Second-order continuous-time non-stationary Gaussian autoregression ⋮ Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent ⋮ Weak convergence of Markov-modulated diffusion processes with rapid switching ⋮ A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model ⋮ Mean reflected stochastic differential equations with two constraints ⋮ Semimartingales and shrinkage of filtration ⋮ Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems ⋮ Large closed queueing networks in semi-Markov environment and their application ⋮ On the consistent filtering of convergent semimartingales ⋮ On boundedness and stability of solutions of nonlinear difference equation with nonmartingale type noise ⋮ MDP for integral functionals of fast and slow processes with averaging ⋮ Almost sure state estimation for nonlinear stochastic systems with Markovian switching ⋮ Environmental Brownian noise suppresses explosions in population dynamics. ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Stochastic differential delay equations of population dynamics ⋮ On many-server queues in heavy traffic ⋮ Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems ⋮ Stochastic processes in random graphs ⋮ Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\) ⋮ The stability with a general decay of stochastic delay differential equations with Markovian switching ⋮ Analysis of multiserver retrial queueing system: a martingale approach and an algorithm of solution ⋮ The almost sure stability of coupled system of stochastic delay differential equations on networks ⋮ On laws of large numbers for systems with mean-field interactions and Markovian switching ⋮ The asymptotic stability of hybrid stochastic systems with pantograph delay and non-Gaussian Lévy noise ⋮ Persistence of hubs in growing random networks ⋮ Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton ⋮ Drift estimation for stochastic reaction-diffusion systems ⋮ Sharp conditions for certain ruin in a risk process with stochastic return on investments ⋮ Analysis of a stochastic IVGTT glucose-insulin model with time delay ⋮ On mean-field (\(\mathrm{GI}/\mathrm{GI}/1\)) queueing model: existence and uniqueness ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Large time behavior of solutions to parabolic equations with Dirichlet operators and nonlinear dependence on measure data ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump ⋮ Asymptotic properties of the realized skewness and related statistics ⋮ On long term investment optimality ⋮ Trait-dependent branching particle systems with competition and multiple offspring ⋮ Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition ⋮ Dynamical behavior analysis of the Leslie-Gower model in random environment ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes ⋮ Internal stabilization of stochastic 3D Navier-Stokes-Voigt equations with linearly multiplicative Gaussian noise ⋮ A generalisation of the Burkholder-Davis-Gundy inequalities ⋮ Lyapunov stability of the generalized stochastic pantograph equation ⋮ Adaptive drift estimation for nonparametric diffusion model. ⋮ Sequential testing problems for Poisson processes. ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model ⋮ On the Rosenthal's inequality for locally square integrable martingales. ⋮ Gaussian moving averages, semimartingales and option pricing. ⋮ B. V. Gnedenko: classic of limit theorems in the theory of probability ⋮ A frequency domain approach to some results on fractional Brownian motion ⋮ Large deviations for Hamiltonian systems on intermediate time scales ⋮ A Cameron-Martin type formula for general Gaussian processes--a filtering approach ⋮ Asymptotic Stability and Boundedness of Stochastic Differential Equations with Respect to Semimartingales ⋮ Averaging analysis of a point process adaptive algorithm ⋮ Stochastically Adaptive Control and Synchronization: From Globally One-Sided Lipschitzian to Only Locally Lipschitzian Systems ⋮ Reliability of Semi-Markov Systems with Asymptotic Merging Phase Space ⋮ Asymptotic properties of the estimators of the semi-parametric spatial regression model ⋮ A characterization of temporal homogeneity for additive processes ⋮ Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ Stabilization and destabilization of nonlinear stochastic differential delay equations ⋮ On the existence of semimartingales with continuous characteristics ⋮ Analysis of the Asymptotic Behavior of the Solution to a Linear Stochastic Differential Equation with Subexponentially Stable Matrix and Its Application to a Control Problem ⋮ Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions ⋮ Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models ⋮ Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching ⋮ Domain recurrence and probabilistic analysis of residence time of stochastic systems and domain aiming control ⋮ Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models ⋮ New stochastic convergence theorems: overcoming the limitations of LaSalle theorems ⋮ Community modulated recursive trees and population dependent branching processes ⋮ Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations ⋮ Synchronization for stochastic coupled networks with Lévy noise via event-triggered control ⋮ The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues ⋮ Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching ⋮ Asymptotic behaviour of solutions to stochastic three-dimensional globally modified Navier–Stokes equations ⋮ Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources ⋮ CONDITIONS FOR RECURRENCE AND TRANSIENCE FOR TIME-INHOMOGENEOUS BIRTH-AND-DEATH PROCESSES ⋮ Asymptotic behaviour analysis of hybrid neutral stochastic functional differential equations driven by Lévy noise ⋮ A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation ⋮ Fractional processes and their statistical inference: an overview ⋮ On a Diffusion Approximation of a Prediction Game ⋮ Maximal inequalities and some applications ⋮ Large-scale behavior of a particle system with mean-field interaction: Traveling wave solutions ⋮ Stochastic time-varying extremum seeking and its applications ⋮ $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs ⋮ Consensus Conditions of Continuous-Time Multi-Agent Systems with Additive and Multiplicative Measurement Noises ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs ⋮ An Analysis of a Large-Scale Machine Repair Model ⋮ Asymptotic distribution of partitioning estimation and modified partitioning estimation for regression functions ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems ⋮ A lubricant boundary condition for a biological body lined by a thin heterogeneous biofilm ⋮ Unnamed Item ⋮ Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion ⋮ Anticipated backward SDEs with jumps and quadratic-exponential growth drivers ⋮ The equivalent martingale measure conditions in a general model for interest rates ⋮ Characterization of submartingales of a new class (Σ^r) ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ Achieving control and synchronization merely through a stochastically adaptive feedback coupling ⋮ Unnamed Item ⋮ Regularly perturbed stochastic differential systems with an internal random noise ⋮ A generalization of the Burkholder–Davis–Gundy inequalities ⋮ Asymptotically optimal sequential tests for nonhomogeneous processes ⋮ Non-positivity and oscillations of solutions of nonlinear stochastic difference equations with state-dependent noise ⋮ Adaptive simulation using perfect control variates ⋮ Stability of stochastic delay neural networks ⋮ Large Deviations Application to Billingsley's Example ⋮ Some contributions to stochastic asymptotic stability and boundedness via multiple Lyapunov functions ⋮ Multiserver queueing systems with retrials and losses ⋮ Derivatives pricing viap-optimal martingale measures: some extreme cases ⋮ Attraction and stability for neutral stochastic functional differential equations ⋮ Structure-preserving equivalent martingale measures for ℋ-SII models ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion ⋮ Stochastic differential equations with generalized stochastic volatility and statistical estimators ⋮ On consumption/investment problems with long-term time-average utilities ⋮ Positivity and stabilisation for nonlinear stochastic delay differential equations ⋮ Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations ⋮ On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps ⋮ NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND ⋮ Stability of Regime-Switching Diffusion Systems with Discrete States Belonging to a Countable Set ⋮ On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation ⋮ Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations ⋮ Stability of a neutral stochastic functional differential equations ⋮ Diffusion approximation of near critical branching processes in fixed and random environment ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Asymptotic Optimality of Power-of-d Load Balancing in Large-Scale Systems ⋮ Kelly Criterion: From a Simple Random Walk to Lévy Processes ⋮ SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION ⋮ Reflected Backward SDEs in a Convex Polyhedron ⋮ The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator ⋮ Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II ⋮ Storage-Limited Queues in Heavy Traffic ⋮ Diffusion-Scale Tightness of Invariant Distributions of a Large-Scale Flexible Service System ⋮ Attraction and Stochastic Asymptotic Stability and Boundedness of Stochastic Functional Differential Equations with Respect to Semimartingales ⋮ On statistical estimation and inferences in optional regression models ⋮ Unnamed Item ⋮ Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2] ⋮ Large Deviations for Additive Functionals of Reflected Jump-Diffusions ⋮ Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory ⋮ Moderate deviations for martingale differences and applications to φ -mixing sequences ⋮ On asymptotic behaviour of solutions of stochastic difference equations with volterra type main term

This page was built for publication: