scientific article; zbMATH DE number 3628142

Iosif I. Gikhman, Anatoli V. Skorokhod

Publication date: 1979

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

Martingales Stochastic Integrals Limit Theorems Diffusion Processes Stochastic Differential Equations Local Martingales

Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Limit theorems in probability theory (60F99) Stochastic analysis (60Hxx)

Related Items (only showing first 100 items - show all)

Parameter estimation in continuous-time stochastic processes ⋮ The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Weak and strong solutions of Generalized Itô's Stochastic Functional Differential Equations ⋮ Strong solutions of stochastic differential equations for multiparameter processes ⋮ On Modelling the Convecting Polar Ionosphere ⋮ Premium allocation and risk avoidance in a large firm: A continuous model ⋮ Density estimation and adaptive control of Markov processes: Average and discounted criteria ⋮ On the construction of the cost in the generalized optimal stopping problem for a random sequence ⋮ On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved ⋮ A controllable linear stochastic system with delay in the information feedback channel ⋮ Transformation formulae for continuous semimartingales and certain non-regular real functions on the sequence spacei^p ⋮ Limiting distributions for minimum relative entropy calibration ⋮ Unnamed Item ⋮ Optimal stopping and control with two kinds of boundary conditions: application to dynamic routeing in networks ⋮ Integrals of Bessel processes and multi-dimensional Ornstein-Uhlenbeck processes: exact asymptotics for $ L^p$-functionals ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Stochastic asymptotic expansion of correlogram estimator of the correlation function of random noise in nonlinear regression model ⋮ Hattendorff's theorem and Thiele's differential equation generalized ⋮ Dynamical Behavior of a Stochastic SIRS Epidemic Model ⋮ Weak convergence of approximate solutions of random equations ⋮ Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions ⋮ Numerical Solution of Free Stochastic Differential Equations ⋮ A limit theorem for non-Markovian multi-channel networks under heavy traffic conditions ⋮ Heat flow in a periodically forced, thermostatted chain ⋮ Finite-stage stochastic decision processes with recursive reward structure I: optimality equations and deterministic strategies ⋮ Stochastic replicator dynamics: a theoretical analysis and an experimental assessment ⋮ On Existence of Solutions to Stochastic Differential Equations with Osmotic Velocities ⋮ On Existence of Solutions to Stochastic Differential Inclusions with Current Velocities II ⋮ On stochastic programming ii: dynamic problems under risk^∗ ⋮ Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games ⋮ Bayesian deconvolution of oil well test data using Gaussian processes ⋮ On approach for studying stochastic Leontief type equations with impulse actions ⋮ Markov approximations of nonzero-sum differential games ⋮ On Solvability of Stochastic Differential Equations with Osmotic Velocities ⋮ Set-valued stochastic intergrals and stochastic inclutions¹ ⋮ A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle ⋮ Stochastic functional differential equations modelling materials with selective recall ⋮ Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's ⋮ Inference for stochastic neuronal models ⋮ On solutions of one-dimensional stochastic differential equations without drift ⋮ On existence of optimal solutions for stochastic differential inclusions with mean derivatives ⋮ The Output Feedback <scp>H</scp>_∞ Control Design for the Linear Stochastic System Driven by Both Brownian Motion and <scp>P</scp>oisson Jumps: A Nonlinear Matrix Inequality Approach ⋮ Difference methods for stochastic differential equations with discontinuous coefficients ⋮ Inference for stochastic neuronal models ⋮ Finite fuel Wiener-Poisson control ⋮ Optimal investment strategies with bounded risks, general utilities, and goal achieving ⋮ Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization ⋮ A stability theorem for stochastic differential equations and application to stochastic control problems ⋮ 𝑊-Markov measures, transfer operators, wavelets and multiresolutions ⋮ Completitud esencial de la clase de controles basados en un proceso suficiente ⋮ Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients ⋮ Zero-sum games for continuous-time Markov chains with unbounded transition and average payoff rates ⋮ Continuous-Time Markov Decision Processes with Unbounded Transition and Discounted-Reward Rates ⋮ On Existence of Solutions to Stochastic Differential Equations with Current Velocities ⋮ Stochastic Leontief Type Equations with Impulse Actions ⋮ Bifurcation and control of an eco-epidemiological system with environmental fluctuations: a stochastic approach ⋮ Optimal dividend policy ⋮ Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space ⋮ Approximate Solutions of Continuous-Time Stochastic Games ⋮ On non-preemptive strategies for stochastic scheduling problems in continuous time ⋮ Stability of stochastic dynamic equations with time-varying delay on time scales ⋮ Unnamed Item ⋮ Stochastic Inclusions with Forward Mean Derivatives Having Decomposable Right-Hand Sides ⋮ Wiener-Poisson control problems† ⋮ Representation of the square integrable martingales generated by a two-parameter Lévy process ⋮ DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? ⋮ On Solutions of Stochastic Equations with Current and Osmotic Velocities ⋮ The exact measure functions of the images for a class of self-similar processes ⋮ Some fractal properties of a class of self-similar Markov processes ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING ⋮ Distributed Wiener-Poisson control † ⋮ Invariance principles for sums of extreme sequential order statistics attracted to Lévy processes ⋮ Classical ergodicity and modern portfolio theory ⋮ Some reduction methods of problems of nonlinear stochastic dynamics ⋮ Nonlinear filtering of systems governed by Ito differential equations with jump parameters ⋮ ${\mathfrak G}$-fuzzy topologies on algebraic structures ⋮ On weak solutions of highly degenerate SDEs ⋮ Optimal stopping and control of dynamic routing in networks ⋮ Information structures and viable price systems ⋮ Risk theory in a stochastic economic environment ⋮ The problem of controlling the linear output of a nonlinear uncontrollable stochastic differential system by the square criterion ⋮ Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales ⋮ Convergence of continuous time stochastic ELS parameter estimation ⋮ Risk measurement in semimartingale models with multiple consumption goods ⋮ A diffusion limit for a class of randomly-growing binary trees ⋮ Input optimization for infinite-horizon discounted programs ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Evolution of predator-prey systems described by a Lotka-Volterra equation under random environment ⋮ Dynamics of a stochastic Lotka-Volterra model perturbed by white noise ⋮ Stochastic $H_{2}/H_{\infty}$ control for Poisson jump-diffusion systems ⋮ Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Admissible investment strategies in continuous trading ⋮ A variational approach for pricing options and corporate bounds ⋮ Estimating the state of a noisy continuous time Markov chain when dynamic sampling is feasible ⋮ Stochastic dynamic equations on time scales ⋮ Efficient stochastic sensitivity analysis of discrete event systems ⋮ Dynamical behavior of Lotka-Volterra competition systems: non-autonomous bistable case and the effect of telegraph noise ⋮ On the martingale problem for Banach space valued stochastic differential equations

This page was built for publication: