Latest articles of Modern Stochastics: Theory and Applications
http://vmsta.org/journal/VMSTA/feeds/latest
https://vmsta.org/https://vmsta.org/Latest articles of Modern Stochastics: Theory and Applications
http://vmsta.org/journal/VMSTA/feeds/latest
enTue, 18 Feb 2020 00:59:20 +0200<![CDATA[The laws of iterated and triple logarithms for extreme values of regenerative processes]]>
https://vmsta.org/journal/VMSTA/article/173
https://vmsta.org/journal/VMSTA/article/173We analyze almost sure asymptotic behavior of extreme values of a regenerative process. We show that under certain conditions a properly centered and normalized running maximum of a regenerative process satisfies a law of the iterated logarithm for the lim sup and a law of the triple logarithm for the lim inf. This complements a previously known result of Glasserman and Kou [Ann. Appl. Probab. 5(2) (1995), 424–445]. We apply our results to several queuing systems and a birth and death process. PDFXML]]>We analyze almost sure asymptotic behavior of extreme values of a regenerative process. We show that under certain conditions a properly centered and normalized running maximum of a regenerative process satisfies a law of the iterated logarithm for the lim sup and a law of the triple logarithm for the lim inf. This complements a previously known result of Glasserman and Kou [Ann. Appl. Probab. 5(2) (1995), 424–445]. We apply our results to several queuing systems and a birth and death process. PDFXML]]>Alexander Marynych,Ivan MatsakMon, 17 Feb 2020 00:00:00 +0200<![CDATA[Estimates for distribution of suprema of solutions to higher-order partial differential equations with random initial conditions]]>
https://vmsta.org/journal/VMSTA/article/172
https://vmsta.org/journal/VMSTA/article/172In the paper we consider higher-order partial differential equations from the class of linear dispersive equations. We investigate solutions to these equations subject to random initial conditions given by harmonizable φ-sub-Gaussian processes. The main results are the bounds for the distributions of the suprema for solutions. We present the examples of processes for which the assumptions of the general result are verified and bounds are written in the explicit form. The main result is also specified for the case of Gaussian initial condition. PDFXML]]>In the paper we consider higher-order partial differential equations from the class of linear dispersive equations. We investigate solutions to these equations subject to random initial conditions given by harmonizable φ-sub-Gaussian processes. The main results are the bounds for the distributions of the suprema for solutions. We present the examples of processes for which the assumptions of the general result are verified and bounds are written in the explicit form. The main result is also specified for the case of Gaussian initial condition. PDFXML]]>Yuriy Kozachenko,Enzo Orsingher,Lyudmyla Sakhno,Olga VasylykTue, 17 Dec 2019 00:00:00 +0200<![CDATA[Keywords index]]>
https://vmsta.org/journal/VMSTA/article/168
https://vmsta.org/journal/VMSTA/article/168PDF XML]]>PDF XML]]>Thu, 12 Dec 2019 00:00:00 +0200<![CDATA[Author index]]>
https://vmsta.org/journal/VMSTA/article/169
https://vmsta.org/journal/VMSTA/article/169PDF XML]]>PDF XML]]>Thu, 12 Dec 2019 00:00:00 +0200<![CDATA[2010 Mathematics Subject Classification index]]>
https://vmsta.org/journal/VMSTA/article/170
https://vmsta.org/journal/VMSTA/article/170PDF XML]]>PDF XML]]>Thu, 12 Dec 2019 00:00:00 +0200<![CDATA[Subject index]]>
https://vmsta.org/journal/VMSTA/article/171
https://vmsta.org/journal/VMSTA/article/171PDF XML]]>PDF XML]]>Thu, 12 Dec 2019 00:00:00 +0200<![CDATA[Jackknife covariance matrix estimation for observations from mixture]]>
https://vmsta.org/journal/VMSTA/article/167
https://vmsta.org/journal/VMSTA/article/167A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A fast algorithm for its calculation is described. The estimator is applied to construction of confidence sets for regression parameters in the linear regression with errors in variables. An application to sociological data analysis is considered. PDFXML]]>A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A fast algorithm for its calculation is described. The estimator is applied to construction of confidence sets for regression parameters in the linear regression with errors in variables. An application to sociological data analysis is considered. PDFXML]]>Rostyslav Maiboroda,Olena SugakovaThu, 07 Nov 2019 00:00:00 +0200<![CDATA[BSDEs and log-utility maximization for Lévy processes]]>
https://vmsta.org/journal/VMSTA/article/166
https://vmsta.org/journal/VMSTA/article/166In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility maximization of the terminal wealth in the filtration generated by an arbitrary Lévy process. PDFXML]]>In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility maximization of the terminal wealth in the filtration generated by an arbitrary Lévy process. PDFXML]]>Paolo Di Tella,Hans-Jürgen EngelbertMon, 28 Oct 2019 00:00:00 +0200<![CDATA[On a linear functional for infinitely divisible moving average random fields]]>
https://vmsta.org/journal/VMSTA/article/165
https://vmsta.org/journal/VMSTA/article/165Given a low-frequency sample of the infinitely divisible moving average random field $\{{\textstyle\int _{{\mathbb{R}^{d}}}}f(t-x)\Lambda (dx),\hspace{2.5pt}t\in {\mathbb{R}^{d}}\}$, in [13] we proposed an estimator $\widehat{u{v_{0}}}$ for the function $\mathbb{R}\ni x\mapsto u(x){v_{0}}(x)=(u{v_{0}})(x)$, with $u(x)=x$ and ${v_{0}}$ being the Lévy density of the integrator random measure Λ. In this paper, we study asymptotic properties of the linear functional ${L^{2}}(\mathbb{R})\ni v\mapsto {\left\langle v,\widehat{u{v_{0}}}\right\rangle _{{L^{2}}(\mathbb{R})}}$, if the (known) kernel function f has a compact support. We provide conditions that ensure consistency (in mean) and prove a central limit theorem for it. PDFXML]]>Given a low-frequency sample of the infinitely divisible moving average random field $\{{\textstyle\int _{{\mathbb{R}^{d}}}}f(t-x)\Lambda (dx),\hspace{2.5pt}t\in {\mathbb{R}^{d}}\}$, in [13] we proposed an estimator $\widehat{u{v_{0}}}$ for the function $\mathbb{R}\ni x\mapsto u(x){v_{0}}(x)=(u{v_{0}})(x)$, with $u(x)=x$ and ${v_{0}}$ being the Lévy density of the integrator random measure Λ. In this paper, we study asymptotic properties of the linear functional ${L^{2}}(\mathbb{R})\ni v\mapsto {\left\langle v,\widehat{u{v_{0}}}\right\rangle _{{L^{2}}(\mathbb{R})}}$, if the (known) kernel function f has a compact support. We provide conditions that ensure consistency (in mean) and prove a central limit theorem for it. PDFXML]]>Stefan RothTue, 22 Oct 2019 00:00:00 +0300<![CDATA[On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence]]>
https://vmsta.org/journal/VMSTA/article/164
https://vmsta.org/journal/VMSTA/article/164The main subject of the study in this paper is the simultaneous renewal time for two time-inhomogeneous Markov chains which start with arbitrary initial distributions. By a simultaneous renewal we mean the first time of joint hitting the specific set C by both processes. Under the condition of existence a dominating sequence for both renewal sequences generated by the chains and non-lattice condition for renewal probabilities an upper bound for the expectation of the simultaneous renewal time is obtained. PDFXML]]>The main subject of the study in this paper is the simultaneous renewal time for two time-inhomogeneous Markov chains which start with arbitrary initial distributions. By a simultaneous renewal we mean the first time of joint hitting the specific set C by both processes. Under the condition of existence a dominating sequence for both renewal sequences generated by the chains and non-lattice condition for renewal probabilities an upper bound for the expectation of the simultaneous renewal time is obtained. PDFXML]]>Vitaliy GolomoziyMon, 14 Oct 2019 00:00:00 +0300