scientific article; zbMATH DE number 3215022

zbMATH Open0132.37902MaRDI QIDQ5342183FDOQ5342183

Authors: Iosif I. Gikhman, Anatolii V. Skorokhod

Publication date: 1965

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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Markov processes (60Jxx)

Cited In (only showing first 100 items - show all)

Markov models and Thiele's integral equations for the prospective reserve
Some asymptotic formulas for the Bogoliubov Gaussian measure
Representation of solutions to evolution equations with Vladimirov operator in terms of Feynman path integrals
Estimation of a linear functional and extrapolation of a random field
Mittag-Leffler vector random fields with Mittag-Leffler direct and cross covariance functions
On Chiang's explicit solutions for the Kolmogorov differential equations
On the distribution of the moment of the first exittime from an interval and value of overjump through borders interval for the processes with independent increments and random walk
Transmission coefficient and heat conduction of a harmonic chain with random masses: Asymptotic estimates on products of random matrices
On a generalization of the arc-sine law
Fractional pure birth processes
Relative complexity of random walks in random sceneries
Invariance principles for non-isotropic long memory random fields
Expected utility theory and inner and outer measures of loss aversion
A new sufficient condition in the invariance principle for the partial sum processes of moving averages
Limit behavior of the distribution of the solution of a stochastic diffusion equation
A scaling analysis of a cat and mouse Markov chain
Limit behavior of functionals of solutions of diffusion type equations
Statistical inference in regression with heavy-tailed integrated variables
Asymptotic behaviour of densities of stable semigroups of measures
Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations
Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
On continuous-time threshold ARMA processes
Stochastic differential games
Geometry of iteration stable tessellations: connection with Poisson hyperplanes
Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
Stability of neutral-type functional differential equations
The large-time asymptotics of some Wiener integrals and the interband light absorption coefficient in the deep fluctuation spectrum
Properties of stochastic integro-differential equations with infinite delay: regularity, ergodicity, weak sense Fokker-Planck equations
Nonparametric estimates and limit theorems in abstract Skorokhod space
Absolute continuity of perturbed Gaussian measures
A note on weak convergence of random step processes
Stochastic differential equations in Hilbert space
Analysis of the distribution of a random process with differential semi-Markov walk with delaying screen at zero
Mean exit time for a chain of \(N=2,3,4\) oscillators
The Hurst phenomenon and the rescaled range statistic
Portfolio selection with transactions costs
Classes characterized by best-possible approximation by spline functions
Statistical modeling of inhomogeneous random functions on the basis of Poisson point fields
The preferability of investment through a mutual fund
Minimax interpolation of sequences with stationary increments and cointegrated sequences
Approximating the density of infinite-dimensional distributions
Asymptotics of maximum likelihood estimator in a two-phase linear regression model
On finite-dimensional distributions of a random element conditioned by the sum of random elements
A local invariance principle. I
Inequalities and principles of large deviations for the trajectories of processes with independent increments
Existence and regularity of a nonhomogeneous transition matrix under measurability conditions
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Structure of strictly Markov marked random closed sets
The functional limit theorem for the canonical \(U\)-processes defined on dependent trials
Convergence of insurance payout stochastic processes to generalized Poisson process
Decomposable statistics and random placement of particles over a countable set of cells
On the convergence to statistical equilibrium for harmonic crystals
Optimal model matching problem for stochastic signals with an unknown fast decreasing spectral density
Absolute continuity of measures in the class of Markov and semi-Markov processes of diffusion type
Asymptotic expansions for distributions of sums of independent random elements of a Hilbert space
Characterization of a class of infinitely divisible distributions in Hilbert space
Feynman and Feynman-Kac formulas for evolution equations with Vladimirov operator
Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient
Optimal local Hölder index for density states of superprocesses with \((1+\beta )\)-branching mechanism
Laplace-type exact asymptotic formulas for the Bogoliubov Gaussian measure
Some new perspectives in best approximation and interpolation of random data
Fluctuations of shapes of large areas under paths of random walks
Construction of non-Gaussian random fields with any given correlation structure
A natural order in dynamical systems based on Conley-Markov matrices
A commutative model of a representation of the group \(O(n, 1)^{X}\) and a generalized Lebesgue measure in the space of distributions
Asymptotic analysis of the mathematical expectation of the total energy of a harmonic oscillator under random pulse perturbation
Approximation by distributions of sums of smoothly dependent random variables
On the limiting behavior of the characteristic function of the ergodic distribution of the semi-Markov walk with two boundaries
On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
Local Hölder regularity for set-indexed processes
A scalar-valued infinitely divisible random field with Pólya autocorrelation
Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions
Ito's lemma in infinite dimensions
Representation of solutions to a heat conduction equation with Vladimirov's operator by functional integrals
Spectral theory of random self-adjoint operators
Portfolio optimization in a semi-Markov modulated market
Asymptotic behavior of a renewal process thinned by an alternating process
Stability in the first approximation for stochastic systems
Properties of the space of proper functions
The asymptotic behavior of rare Markov moments defined on time inhomogeneous Markov chains
Decomposable processes and continuous products of probability spaces
On ergodic properties of certain billiards
On a non-classical invariance principle
Hypotheses testing: Poisson versus stress-release
Existence of the \(l\)-th moment of a solution to a stochastic functional-differential equation with the entire prehistory
On the non-standard distribution of empirical likelihood estimators with spatial data
Statistical estimation in hierarchical hidden Markov model
Cointegrated processes with infinite variance innovations
Remarks on suprema of Lévy processes with light tailes
The structure of the positive discrete spectrum of the evolution operator arising in branching random walks
Generalization of an approximation inequality
Invariance principle for the sum of random variables defined on a homogeneous Markov chain
Limit theorems for one-dimensional nonhomogeneous stochastic diffusion equations under irregular dependence of the coefficients on a parameter
Optimization of hybrid stochastic differential systems in communications networks
Admissible shifts of the Cauchy measure
An invariance principle for mixing sequences of random variables
Random point processes and DLR equations
Asymptotic optimality of the round-robin policy in multipath routing with resequencing
Fluctuations in the averaging scheme for differential equations with random pulsed action
Additive functionals and a time change which preserves the semi-Markov property of the process

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