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Found 145 Documents (Results 1–100)

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Explicit description of HARA forward utilities and their optimal portfolios. (English. Russian original) Zbl 1358.91090

Theory Probab. Appl. 61, No. 1, 57-93 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 69-113 (2016).
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On non-negative adapted random variable sequences that are density processes for deformed stochastic bases of the first kind. (English. Russian original) Zbl 1350.60040

Russ. Math. Surv. 70, No. 1, 174-175 (2015); translation from Usp. Mat. Nauk. 70, No. 1, 185-186 (2015).
MSC:  60G42 60G48
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Lower bounds of martingale measure densities in the Dalang-Morton-Willinger theorem. (English. Russian original) Zbl 1218.60034

Theory Probab. Appl. 54, No. 3, 447-465 (2010); translation from Teor. Veroyatn. Primen. 54, No. 3, 492-514 (2009).
MSC:  60G44 91G80
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Estimating the stationary distribution of a Markov chain. (English) Zbl 1040.62071

Aliprantis, Charalambos D. (ed.) et al., Assets, beliefs, and equilibria in economic dynamics. Essays in honor of Mordecai Kurz. Collected papers of a conference, August 2–3, 2002. Berlin: Springer (ISBN 3-540-00911-6/hbk). Stud. Econ. Theory 18, 695-708 (2004).
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On minimization and maximization of entropy in various disciplines. (English. Russian original) Zbl 1075.94007

Theory Probab. Appl. 48, No. 3, 447-464 (2003); translation from Teor. Veroyatn. Primen. 48, No. 3, 466-486 (2003).
MSC:  94A17 60G42 82B30 82C05 62B10 91B28
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Penalized likelihood hazard estimation: Algorithm and examples. (English) Zbl 0790.62094

Gupta, Shanti S. (ed.) et al., Statistical decision theory and related topics V. Proceedings of the fifth Purdue international symposium on statistical decision theory and related topics held at Purdue University, West Lafayette, IN (USA), June 14-19, 1992. New York: Springer-Verlag. 61-72 (1994).
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Limit theorems for statistical inference on stationary processes with strong dependence. (English) Zbl 0854.62080

Matsusita, K. (ed.) et al., Statistical sciences and data analysis. Proceedings of the third Pacific Area statistical conference, Makuhari, Japan, December 11-13, 1991. Utrecht: VSP. 151-163 (1993).
MSC:  62M09 60F05 60G10
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