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Found 103 Documents (Results 1–100)

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Limnios, Nikolaos; Swishchuk, Anatoliy

Discrete-time semi-Markov random evolutions and their applications. (English) Zbl 07746986

Probability and Its Applications. Cham: Birkhäuser (ISBN 978-3-031-33428-3/hbk; 978-3-031-33431-3/pbk; 978-3-031-33429-0/ebook). xvi, 198 p. (2023).
MSC:  60-02 60K15 60K20 92D30 91G20 60G40
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\textit{N. Limnios} and \textit{A. Swishchuk}, Discrete-time semi-Markov random evolutions and their applications. Cham: Birkhäuser (2023; Zbl 07746986)
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Swishchuk, Anatoliy

Delay stochastic models in finance. (English) Zbl 1355.91085

Bélair, Jacques (ed.) et al., Mathematical and computational approaches in advancing modern science and engineering. Based on the international conference on applied mathematics, modeling and computational science, AMMCS, jointly held with the annual meeting of the Canadian applied and industrial mathematics, CAIMS, June 7–15, 2015. Cham: Springer (ISBN 978-3-319-30377-2/hbk; 978-3-319-30379-6/ebook). 561-571 (2016).
MSC:  91G70
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\textit{A. Swishchuk}, in: Mathematical and computational approaches in advancing modern science and engineering. Based on the international conference on applied mathematics, modeling and computational science, AMMCS, jointly held with the annual meeting of the Canadian applied and industrial mathematics, CAIMS, June 7--15, 2015. Cham: Springer. 561--571 (2016; Zbl 1355.91085)
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Swishchuk, Anatoliy

Modeling and pricing of swaps for financial and energy markets with stochastic volatilities. (English) Zbl 1298.91017

Hackensack, NJ: World Scientific (ISBN 978-981-4440-12-7/hbk; 978-981-4440-14-1/ebook). xxii, 303 p. (2013).
Reviewer: Dan Lu (Leipzig)
MSC:  91-01 91G20 91G30
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\textit{A. Swishchuk}, Modeling and pricing of swaps for financial and energy markets with stochastic volatilities. Hackensack, NJ: World Scientific (2013; Zbl 1298.91017)
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Elliott, Robert J.; Swishchuk, Anatoliy V.

Pricing options and variance swaps in Markov-modulated Brownian markets. (English) Zbl 1311.91178

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. New York, NY: Springer (ISBN 978-0-387-71081-5/hbk). International Series in Operations Research & Management Science 104, 45-68 (2007).
MSC:  91G20
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\textit{R. J. Elliott} and \textit{A. V. Swishchuk}, Int. Ser. Oper. Res. Manag. Sci. 104, 45--68 (2007; Zbl 1311.91178)
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Swishchuk, Anatoly; Wu, Jianhong

Evolution of biological systems in random media: limit theorems and stability. (English) Zbl 1116.60061

Mathematical Modelling: Theory and Applications 18. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-1554-2/hbk). xx, 216 p. (2003).
MSC:  60K37 60-02 92-02 60J80 60J85 92Dxx
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\textit{A. Swishchuk} and \textit{J. Wu}, Evolution of biological systems in random media: limit theorems and stability. Dordrecht: Kluwer Academic Publishers (2003; Zbl 1116.60061)
Svishchuk, A. V.; Svishchuk, M. Ya.

Stochastic stability of processes determined by the Poisson differential equations with a delay. (English. Ukrainian original) Zbl 1005.60072

Ukr. Math. J. 54, No. 3, 511-518 (2002); translation from Ukr. Mat. Zh. 54, No. 3, 413-418 (2002).
MSC:  60H10 93E15
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\textit{A. V. Svishchuk} and \textit{M. Ya. Svishchuk}, Ukr. Mat. Zh. 54, No. 3, 413--418 (2002; Zbl 1005.60072); translation from Ukr. Mat. Zh. 54, No. 3, 413--418 (2002)
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Svishchuk, A. V.; Kazmerchuk, Yu. I.

Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance. (English. Ukrainian original) Zbl 0998.60059

Theory Probab. Math. Stat. 64, 167-178 (2002); translation from Teor. Jmovirn. Mat. Stat. 64, 141-151 (2001).
Reviewer: N.M.Zinchenko (Kyïv)
MSC:  60H10 93E15 62P05
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\textit{A. V. Svishchuk} and \textit{Yu. I. Kazmerchuk}, Teor. Ĭmovirn. Mat. Stat. 64, 141--151 (2001; Zbl 0998.60059); translation from Teor. Jmovirn. Mat. Stat. 64, 141--151 (2001)
Svishchuk, A. V.; Kalemanova, A. V.

The stochastic stability of interest rates with jump changes. (English. Ukrainian original) Zbl 0990.60059

Theory Probab. Math. Stat. 61, 161-172 (2000); translation from Teor. Jmovirn. Mat. Stat. 61, 152-163 (2000).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60H10 62P05 91G30
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\textit{A. V. Svishchuk} and \textit{A. V. Kalemanova}, Teor. Ĭmovirn. Mat. Stat. 61, 152--163 (2000; Zbl 0990.60059); translation from Teor. Jmovirn. Mat. Stat. 61, 152--163 (2000)
Griego, R. J.; Svishchuk, A. V.

Black-Scholes formula for a market in a random environment. (English. Ukrainian original) Zbl 0989.60056

Theory Probab. Math. Stat. 62, 9-18 (2001); translation from Teor. Jmovirn. Mat. Stat. 62, 9-18 (2000).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60H10 60J27 91B24 60J60 62P05 60J65
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\textit{R. J. Griego} and \textit{A. V. Svishchuk}, Teor. Ĭmovirn. Mat. Stat. 62, 9--18 (2000; Zbl 0989.60056); translation from Teor. Jmovirn. Mat. Stat. 62, 9--18 (2000)
Gusak, D. V.; Bratijchuk, M. S.; Svishchuk, A. V.

On the creative contribution of V. S. Korolyuk to the development of probability theory. (English. Ukrainian original) Zbl 0973.60047

Ukr. Math. J. 52, No. 8, 1161-1178 (2000); translation from Ukr. Mat. Zh. 52, No. 8, 1014-1030 (2000).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60G50 60K15 60K05 60G51 60J50
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\textit{D. V. Gusak} et al., Ukr. Mat. Zh. 52, No. 8, 1014--1030 (2000; Zbl 0973.60047); translation from Ukr. Mat. Zh. 52, No. 8, 1014--1030 (2000)
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Svishchuk, A. V.; Zhuravitskyj, D. G.; Kalemanova, A. V.

Analog of the Black-Scholes formula for option pricing under conditions of \((B, S, X)\)-incomplete market of securities with jumps. (English. Ukrainian original) Zbl 0971.60069

Ukr. Math. J. 52, No. 3, 489-497 (2000); translation from Ukr. Mat. Zh. 52, No. 3, 424-431 (2000).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60J60 60J75 91B70 91G20 60J25
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\textit{A. V. Svishchuk} et al., Ukr. Mat. Zh. 52, No. 3, 424--431 (2000; Zbl 0971.60069); translation from Ukr. Mat. Zh. 52, No. 3, 424--431 (2000)
Full Text: DOI
Korolyuk, V. S.; Svishchuk, A. V.

Evolution stochastic systems. Averaging algorithms and diffusion approximation. (Evolyutsionnye stokhasticheskie sistemy. Algoritmy usredneniya i diffuzionnoj approksimatsii.) (Russian) Zbl 0968.60004

Pratsi Instytutu Matematyky Natsional’noï Akademiï Nauk Ukraïny. Matematyka ta ïï Zastosuvannya. 33. Kyïv: Instytut Matematyky NAN Ukraïny. 344 p. (2000).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60-02
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\textit{V. S. Korolyuk} and \textit{A. V. Svishchuk}, Evolyutsionnye stokhasticheskie sistemy. Algoritmy usredneniya i diffuzionnoj approksimatsii (Russian). Kyïv: Instytut Matematyky NAN Ukraïny (2000; Zbl 0968.60004)
Swishchuk, A. V.; Goncharova, S. Ya.

Stability of semi-Markov risk processes in the scheme of normal deviations. (English. Ukrainian original) Zbl 0958.60086

Theory Probab. Math. Stat. 59, 149-152 (1999); translation from Teor. Jmorvirn. Mat. Stat. 59, 144-147 (1998).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60K15 62P05 93D20
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\textit{A. V. Swishchuk} and \textit{S. Ya. Goncharova}, Teor. Ĭmovirn. Mat. Stat. 59, 144--147 (1998; Zbl 0958.60086); translation from Teor. Jmorvirn. Mat. Stat. 59, 144--147 (1998)
Svishchuk, A. V.; Burdejnyj, A. G.

Optimal control over evolution stochastic systems and its application to stochastic models of financial mathematics. (English. Ukrainian original) Zbl 0934.93072

Ukr. Math. J. 50, No. 5, 780-794 (1998); translation from Ukr. Mat. Zh. 50, No. 5, 687-698 (1998).
Reviewer: O.A.Voina (Kyïv)
MSC:  93E20 60K15 62P05
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\textit{A. V. Svishchuk} and \textit{A. G. Burdejnyj}, Ukr. Mat. Zh. 50, No. 5, 687--698 (1998; Zbl 0934.93072); translation from Ukr. Mat. Zh. 50, No. 5, 687--698 (1998)
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Svishchuk, A. V.; Lukin, O. E.

Filtration of components of random evolution processes. (English. Ukrainian original) Zbl 0945.60076

Ukr. Math. J. 50, No. 12, 1939-1944 (1998); translation from Ukr. Mat. Zh. 50, No. 12, 1701-1705 (1998).
Reviewer: V.A.Gasanenko (Kyïv)
MSC:  60J60 60J70 60K30
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\textit{A. V. Svishchuk} and \textit{O. E. Lukin}, Ukr. Mat. Zh. 50, No. 12, 1701--1705 (1998; Zbl 0945.60076); translation from Ukr. Mat. Zh. 50, No. 12, 1701--1705 (1998)
Full Text: DOI
Swishchuk, A. V.; Lukin, O. E.

Interpolation and extrapolation of random evolution processes. (English. Ukrainian original) Zbl 0939.60073

Theory Probab. Math. Stat. 57, 175-179 (1998); translation from Teor. Jmovirn. Mat. Stat. 57, 163-167 (1997).
Reviewer: M.P.Moklyachuk (Kyïv)
MSC:  60H20 62P05 91B30 91B28 60K15
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\textit{A. V. Swishchuk} and \textit{O. E. Lukin}, Teor. Ĭmovirn. Mat. Stat. 57, 163--167 (1997; Zbl 0939.60073); translation from Teor. Jmovirn. Mat. Stat. 57, 163--167 (1997)
Svishchuk, A. V.; Burdeinyi, A. G.

Stability of semi-Markov evolution systems and its application in financial mathematics. (English. Ukrainian original) Zbl 0942.60083

Ukr. Math. J. 48, No. 10, 1574-1591 (1996); translation from Ukr. Mat. Zh. 48, No. 10, 1386-1401 (1996).
MSC:  60K15 91B28
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\textit{A. V. Svishchuk} and \textit{A. G. Burdeinyi}, Ukr. Math. J. 48, No. 10, 1574--1591 (1996; Zbl 0942.60083); translation from Ukr. Mat. Zh. 48, No. 10, 1386--1401 (1996)
Full Text: DOI
Swishchuk, A. V.

Semi-Markov random evolutions: some ideas, methods and results. (English) Zbl 1171.60380

Skorokhod, A.V. (ed.) et al., Exploring stochastic laws. Festschrift in honour of the 70th birthday of Academician Vladimir Semenovich Korolyuk. Utrecht: VSP (ISBN 90-6764-196-0). 417-442 (1995).
MSC:  60K15 60H20 60K30 91Gxx
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\textit{A. V. Swishchuk}, in: Exploring stochastic laws. Festschrift in honour of the 70th birthday of Academician Vladimir Semenovich Korolyuk. Utrecht: VSP. 417--442 (1995; Zbl 1171.60380)
Full Text: DOI
Swishchuk, A. V.

Stochastic integral operator equation for the limiting semi-Markov random evolution in lumping scheme. (English) Zbl 0817.60077

Shiryaev, A. N. (ed.) et al., Probability theory and mathematical statistics. Proceedings of the 6th USSR-Japan symposium, Kiev, USSR, 5-10 August, 1991. Singapore: World Scientific. 382-389 (1992).
MSC:  60H25 60K15 60G44
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\textit{A. V. Swishchuk}, in: Probability theory and mathematical statistics. Proceedings of the 6th USSR-Japan symposium, Kiev, USSR, 5-10 August, 1991. Singapore: World Scientific. 382--389 (1992; Zbl 0817.60077)
Svishchuk, Anatolij

Semi-Markov random evolutions: A survey of the recent results. (English) Zbl 0764.60091

Information theory, statistical decision functions, random processes, Trans. 11th Prague Conf., Prague/Czech. 1990, Vol. B, 403-414 (1992).
MSC:  60K15
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\textit{A. Svishchuk}, in: Information theory, statistical decision functions, random processes. Transactions of the 11th Prague conference, held from August 27-31, 1990 in Prague, Czechoslovakia. Volume B. Dordrecht: Kluwer Academic Publishers. 403--414 (1992; Zbl 0764.60091)
Svishchuk, A. V.

Solution of the martingale problem for semi-Markov random evolutions. (Russian) Zbl 0785.60042

Korolyuk, V. S. (ed.), Asymptotic and applied problems in the theory of random evolutions. Collection of scientific works. Kiev: Institut Matematiki AN USSR. 102-111 (1990).
MSC:  60K15 60H20
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\textit{A. V. Svishchuk}, in: Asimptoticheskie i prikladnye zadachi teorii sluchajnykh ehvolyutsij. Sbornik nauchnykh trudov. Kiev: Institut Matematiki AN USSR. 102--111 (1990; Zbl 0785.60042)
Korolyuk, V. S.; Svishchuk, A. V.

Weak convergence of semi-Markov random evolutions in an averaging scheme. (English. Russian original) Zbl 0747.60025

Theory Probab. Math. Stat. 42, 61-71 (1991); translation from Teor. Veroyatn. Mat. Stat., Kiev 42, 53-64 (1990).
Reviewer: M.Iosifescu (Bucureşti)
MSC:  60F05 60K15 93E03
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\textit{V. S. Korolyuk} and \textit{A. V. Svishchuk}, Theory Probab. Math. Stat. 42, 61--71 (1990; Zbl 0747.60025); translation from Teor. Veroyatn. Mat. Stat., Kiev 42, 53--64 (1990)
Korolyuk, V. S.; Svishchuk, A. V.

Limiting representation of continuous semi-Markov random evolutions in the series scheme. (English. Russian original) Zbl 0707.60080

Ukr. Math. J. 41, No. 11, 1267-1274 (1989); translation from Ukr. Mat. Zh. 41, No. 11, 1476-1482 (1989).
MSC:  60K15 60F05
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\textit{V. S. Korolyuk} and \textit{A. V. Svishchuk}, Ukr. Math. J. 41, No. 11, 1267--1274 (1989; Zbl 0707.60080); translation from Ukr. Mat. Zh. 41, No. 11, 1476--1482 (1989)
Full Text: DOI
Koroljuk, V. S.; Swishchuk, A. V.

Semi-Markov random evolutions-phase aggregation and applications. (English) Zbl 0900.60077

Obretenov, A. (ed.), Fifth international summer school on probability theory and mathematical statistics, Varna, Bulgaria, September 16–28, 1985. Lecture Notes. Sofia: Publishing House of the Bulgarian Academy of Sciences, 156-170 (1988).
MSC:  60H99 60F05 60K15
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\textit{V. S. Koroljuk} and \textit{A. V. Swishchuk}, in: Fifth international summer school on probability theory and mathematical statistics, Varna, Bulgaria, September 16--28, 1985. Lecture Notes. Sofia: Publishing House of the Bulgarian Academy of Sciences. 156--170 (1988; Zbl 0900.60077)
Korolyuk, V. S. (ed.)
[Bratijchuk, N. S.; Gasanenko, V. A.; Grikh, Z. A.; Gusak, D. V.; Tureniyazova, A. I.; Demenin, A. N.; Diesperova, M. M.; Dobrovol’skij, V. V.; Dukhovnyj, A. M.; Zhdanova, Yu. D.; Zaigraev, A. Yu.; Zayats, V. V.; Korolyuk, V. S.; Borovskikh, Yu. V.; Marushin, M. N.; Melyaeva, O.; Pratsevityj, N. V.; Svishchuk, A. V.; Solopko, I. O.; Turbin, A. F.; Novikov, M. M.; Cherenkov, A. P.; Yatsishin, Yu. V.]

Asymptotic methods in the investigation of stochastic models. Collection of scientific works. (Asimptoticheskie metody v issledovanii stokhasticheskikh modelej. Sbornik nauchnykh trudov). (Russian) Zbl 0658.60005

Kiev: Institut Matematiki AN USSR. 147 p. R. 1.05 (1987).
MSC:  60-06 00Bxx 62-06 60F17 60K15 60K25 60B15 62K05
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