Hirsch F. et al. Modern Stochastics and Applications

Francis Hirsch, Marc Yor (auth.), Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko (eds.)Springer, 2014. — 349 p. — (Springer Optimization and Its Applications 90). — ISBN: 9783319035116, 9783319035123This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics and economics.
Contributions to this Work include those of selected speakers from the international conference entitled “Modern Stochastics: Theory and Applications III,” held on September 10 –14, 2012 at Taras Shevchenko National University of Kyiv, Ukraine. The conference covered the following areas of research in probability theory and its applications: stochastic analysis, stochastic processes and fields, random matrices, optimization methods in probability, stochastic models of evolution systems, financial mathematics, risk processes and actuarial mathematics and information security.Comparing Brownian Stochastic Integrals for the Convex Order
Application of $$\varphi$$ -Sub-Gaussian Random Processes in Queueing Theory
A Review on Time-Changed Pseudoprocesses and Related Distributions
Reciprocal Processes: A Stochastic Analysis Approach
Probabilistic Counterparts of Nonlinear Parabolic Partial Differential Equation Systems
Finite-Time Blowup and Existence of Global Positive Solutions of a Semi-linear Stochastic Partial Differential Equation with Fractional Noise
Hydrodynamics and Stochastic Differential Equation with Sobolev Coefficients
Elementary Pathwise Methods for Nonlinear Parabolic and Transport Type Stochastic Partial Differential Equations with Fractal Noise
Stochastic Partial Differential Equations Driven by General Stochastic Measures
Exponential Convergence of Degenerate Hybrid Stochastic Systems with Full Dependence
Asymptotic Behaviour of the Distribution Density of the Fractional Lévy Motion
Large Deviations for Random Evolutions in the Scheme of Asymptotically Small Diffusion
Limit Theorems for Excursion Sets of Stationary Random Fields
Ambit Processes, Their Volatility Determination and Their Applications
Some Functional Analytic Tools for Utility Maximization
Maximization of the Survival Probability by Franchise and Deductible Amounts in the Classical Risk Model
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
Minimum Contrast Method for Parameter Estimation in the Spectral Domain
Conditional Estimators in Exponential Regression with Errors in Covariates