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## Mackevičius, Vigirdas

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 Author ID: mackevicius.vigirdas Published as: Mackevicius, V.; Mackevičius, V.; Mackevičius, Vigirdas; Matskyavichyus, V.; Matskyavichyus, V. K. Homepage: https://klevas.mif.vu.lt/~vigirdas/ External Links: MGP · Math-Net.Ru · Wikidata · ResearchGate · dblp
 Documents Indexed: 63 Publications since 1971, including 3 Books Reviewing Activity: 146 Reviews
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#### Co-Authors

 47 single-authored 3 Coquet, François 3 Lenkšas, Antanas 3 Mémin, Jean 2 Ivanauskas, Feliksas 2 Kudzhma, R. 1 Ambrazevičius, Algirdas 1 Grigelionis, Bronius I. 1 Jacod, Jean 1 Kareiva, Aivaras 1 Kubilius, Kȩstutis 1 Leipus, Remigijus 1 Lileika, Gytenis 1 Mackevičius, Mažvydas 1 Mikulevicius, Remigijus 1 Mongirdaitė, Gabrielė 1 Navikas, Jurgis 1 Paulauskas, Vygantas Ionovič 1 Shiryaev, Al’bert Nikolaevich 1 Stanulis, Andrius 1 Surgailis, Donatas 1 Žibaitis, B.
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#### Serials

 17 Lithuanian Mathematical Journal 12 Litovskiĭ Matematicheskiĭ Sbornik 5 Mathematics and Computers in Simulation 3 Teoriya Veroyatnosteĭ i eë Primeneniya 2 Stochastics 2 Theory of Probability and its Applications 2 Stochastic Processes and their Applications 2 Lithuanian Mathematical Transactions of the Academy of Sciences of the Lithuanian SSR 1 Matematicheskiĭ Sbornik. Novaya Seriya 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Mathematics of the USSR, Sbornik 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Mathematical Chemistry 1 Mathematical Transactions of the Academy of Sciences of the Lithuanian SSR 1 Modern Stochastics. Theory and Applications 1 Lietuvos Matematikos Rinkinys. Proceedings of the Lithuanian Mathematical Society. Series A 1 Mathematics and Statistics Series
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#### Fields

 57 Probability theory and stochastic processes (60-XX) 12 Numerical analysis (65-XX) 7 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 2 Ordinary differential equations (34-XX) 1 History and biography (01-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Statistics (62-XX) 1 Biology and other natural sciences (92-XX)

#### Citations contained in zbMATH

31 Publications have been cited 92 times in 67 Documents Cited by Year
Stability in $$\mathbb D$$ of martingales and backward equations under discretization of filtration. Zbl 0932.60047
Coquet, François; Mackevičius, Vigirdas; Mémin, Jean
1998
Second order weak Runge-Kutta type methods for Itô equations. Zbl 0990.65006
Mackevičius, Vigirdas; Navikas, Jurgis
2001
S p stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales. Zbl 0636.60057
Mackevičius, Vigirdas
1987
Second-order weak approximations for Stratonovich stochastic differential equations. Zbl 0839.60057
Mackevičius, V.
1994
Weak approximation of CIR equation by discrete random variables. Zbl 1281.65014
Mackevičius, Vigirdas
2011
On weak approximations of CIR equation with high volatility. Zbl 1188.65008
Mackevičius, Vigirdas
2010
On weak approximations of $$(a, b)$$-invariant diffusions. Zbl 1109.60044
Mackevičius, Vigirdas
2007
On polygonal approximation of Brownian motion in stochastic integral. Zbl 0549.60073
Mackevičius, Vigirdas
1984
On the low estimate of the rate of convergence in the central limit theorem. Zbl 0511.60024
Matskyavichyus, V. K.
1983
Symmetric stochastic integrals and their approximations. Zbl 0504.60062
Mackevičius, Vigirdas
1982
Verhulst versus CIR. Zbl 1403.91358
Mackevičius, Vigirdas
2015
Corrigendum to “Stability in $$\mathbb D$$ of martingales and backward equations under discretization of filtration”. Zbl 0997.60061
Coquet, François; Mackevičius, Vigirdas; Mémin, Jean
1999
Support of the solution of a stochastic differential equation. Zbl 0621.60062
Matskyavichyus, V.
1986
$$S^ p$$ stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales. Zbl 0587.60045
Mackevičius, Vigirdas
1986
S-stability of the solutions of symmetric stochastic differential equations. Zbl 0588.60050
Matskyavichyus, V.
1985
A second-order weak approximation of Heston model by discrete random variables. Zbl 1336.60139
Lenkšas, Antanas; Mackevičius, Vigirdas
2015
Introduction to stochastic analysis. Integrals and differential equations. Zbl 1235.60001
Mackevičius, Vigirdas
2011
On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion. Zbl 1032.60062
Mackevičius, V.
2003
Some examples and counterexamples of convergence of $$\sigma$$-algebras and filtrations. Zbl 0990.60035
Coquet, F.; Mémin, J.; Mackevičius, V.
2000
On the question of the weak convergence of stochastic processes on the spaces $$\mathcal D_{[0,\infty)}\mathcal X$$. Zbl 0303.60006
Mackevicius, V.
1974
On backward Kolmogorov equation related to CIR process. Zbl 1391.60141
Mackevičius, Vigirdas; Mongirdaitė, Gabrielė
2018
Synchronization of solutions of Duffing-type equations with random perturbations. Zbl 1293.34069
Ambrazevičius, A.; Ivanauskas, F.; Mackevičius, V.
2013
The finiteness of moments of a stochastic exponential. Zbl 1171.60340
Grigelionis, Bronius; Mackevičius, Vigirdas
2003
Gaussian approximations of Brownian motion in a stochastic integral. Zbl 0827.60037
Mackevičius, V.; Žibaitis, B.
1993
On approximation of stochastic differential equations with coefficients depending on the past. Zbl 0796.60066
Mackevičius, V.
1992
On a lower bound for the convergence rate in a local limit theorem. Zbl 0658.60040
Matskyavichyus, V. K.
1986
$$S^ p$$-stability of solutions of symmetric stochastic differential equations. Zbl 0659.60086
Matskyavichyus, V.
1985
Symmetric stochastic differential equations with non-smooth coefficients. Zbl 0481.60064
Matskyavichyus, V.
1981
Weak convergence of random processes in spaces $$\mathcal D_{[0,\infty)}\mathcal X$$. Zbl 0318.60006
Mackevičius, V.
1975
Passing to the limit in optimal stopping problems for Markov processes. Zbl 0277.60032
Mackevičius, V.
1974
Passage to the limit in problems of optimal stopping of Markov processes. Zbl 0263.60017
Mackevičius, V.
1973
On backward Kolmogorov equation related to CIR process. Zbl 1391.60141
Mackevičius, Vigirdas; Mongirdaitė, Gabrielė
2018
Verhulst versus CIR. Zbl 1403.91358
Mackevičius, Vigirdas
2015
A second-order weak approximation of Heston model by discrete random variables. Zbl 1336.60139
Lenkšas, Antanas; Mackevičius, Vigirdas
2015
Synchronization of solutions of Duffing-type equations with random perturbations. Zbl 1293.34069
Ambrazevičius, A.; Ivanauskas, F.; Mackevičius, V.
2013
Weak approximation of CIR equation by discrete random variables. Zbl 1281.65014
Mackevičius, Vigirdas
2011
Introduction to stochastic analysis. Integrals and differential equations. Zbl 1235.60001
Mackevičius, Vigirdas
2011
On weak approximations of CIR equation with high volatility. Zbl 1188.65008
Mackevičius, Vigirdas
2010
On weak approximations of $$(a, b)$$-invariant diffusions. Zbl 1109.60044
Mackevičius, Vigirdas
2007
On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion. Zbl 1032.60062
Mackevičius, V.
2003
The finiteness of moments of a stochastic exponential. Zbl 1171.60340
Grigelionis, Bronius; Mackevičius, Vigirdas
2003
Second order weak Runge-Kutta type methods for Itô equations. Zbl 0990.65006
Mackevičius, Vigirdas; Navikas, Jurgis
2001
Some examples and counterexamples of convergence of $$\sigma$$-algebras and filtrations. Zbl 0990.60035
Coquet, F.; Mémin, J.; Mackevičius, V.
2000
Corrigendum to “Stability in $$\mathbb D$$ of martingales and backward equations under discretization of filtration”. Zbl 0997.60061
Coquet, François; Mackevičius, Vigirdas; Mémin, Jean
1999
Stability in $$\mathbb D$$ of martingales and backward equations under discretization of filtration. Zbl 0932.60047
Coquet, François; Mackevičius, Vigirdas; Mémin, Jean
1998
Second-order weak approximations for Stratonovich stochastic differential equations. Zbl 0839.60057
Mackevičius, V.
1994
Gaussian approximations of Brownian motion in a stochastic integral. Zbl 0827.60037
Mackevičius, V.; Žibaitis, B.
1993
On approximation of stochastic differential equations with coefficients depending on the past. Zbl 0796.60066
Mackevičius, V.
1992
S p stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales. Zbl 0636.60057
Mackevičius, Vigirdas
1987
Support of the solution of a stochastic differential equation. Zbl 0621.60062
Matskyavichyus, V.
1986
$$S^ p$$ stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales. Zbl 0587.60045
Mackevičius, Vigirdas
1986
On a lower bound for the convergence rate in a local limit theorem. Zbl 0658.60040
Matskyavichyus, V. K.
1986
S-stability of the solutions of symmetric stochastic differential equations. Zbl 0588.60050
Matskyavichyus, V.
1985
$$S^ p$$-stability of solutions of symmetric stochastic differential equations. Zbl 0659.60086
Matskyavichyus, V.
1985
On polygonal approximation of Brownian motion in stochastic integral. Zbl 0549.60073
Mackevičius, Vigirdas
1984
On the low estimate of the rate of convergence in the central limit theorem. Zbl 0511.60024
Matskyavichyus, V. K.
1983
Symmetric stochastic integrals and their approximations. Zbl 0504.60062
Mackevičius, Vigirdas
1982
Symmetric stochastic differential equations with non-smooth coefficients. Zbl 0481.60064
Matskyavichyus, V.
1981
Weak convergence of random processes in spaces $$\mathcal D_{[0,\infty)}\mathcal X$$. Zbl 0318.60006
Mackevičius, V.
1975
On the question of the weak convergence of stochastic processes on the spaces $$\mathcal D_{[0,\infty)}\mathcal X$$. Zbl 0303.60006
Mackevicius, V.
1974
Passing to the limit in optimal stopping problems for Markov processes. Zbl 0277.60032
Mackevičius, V.
1974
Passage to the limit in problems of optimal stopping of Markov processes. Zbl 0263.60017
Mackevičius, V.
1973
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#### Cited by 90 Authors

 15 Mackevičius, Vigirdas 4 Rößler, Andreas 3 Bobkov, Sergey Germanovich 3 Chistyakov, Gennadiy P. 3 Debrabant, Kristian 3 Götze, Friedrich W. 2 Coquet, François 2 Lenkšas, Antanas 2 Mémin, Jean 2 Navikas, Jurgis 2 Protter, Philip Elliott 2 Słomiński, Leszek 2 Stettner, Łukasz 2 Taguchi, Dai 2 Touzi, Nizar 2 Twardowska, Krystyna 2 Žibaitis, B. 1 Aazizi, Soufiane 1 Amiri, Sadegh 1 Bouchard, Bruno 1 Briand, Philippe 1 Brzeźniak, Zdzisław 1 Čekanavičius, Vydas 1 Cheridito, Patrick 1 Crisan, Dan O. 1 Cui, Zhenyu 1 Delgado-Vences, Francisco J. 1 Flandoli, Franco 1 Giuliano, Rita 1 Gordienko, Evgueni I. 1 Gyöngy, István 1 Hadiri, Sokaina 1 Haghgozar, Hossein Samimi 1 Hamagami, Kunihiko 1 Hansen, Lars Peter 1 Hosseini, Seyed Mohammad 1 Jamshidi, Nahid 1 Kamrani, Minoo 1 Kavallaris, Nikos I. 1 Kchia, Younes 1 Kohlmann, Michael 1 Kraft, Holger 1 Kupsa, Michal 1 Labart, Céline 1 Leão, Dorival 1 Li, Dong 1 Li, Yumeng 1 Lileika, Gytenis 1 Ma, Jin 1 Manolarakis, Konstantinos 1 Moghaddam, Behrouz Parsa 1 Mostaghim, Zeinab Salamat 1 Ngo, Hoang-Long 1 Nguyen, Duy-Minh 1 Novikov, Andreĭ Alekseevich 1 Ohashi, Alberto Masayoshi F. 1 Ondreját, Martin 1 Palczewski, Jan 1 Papapantoleon, Antonis 1 Picard, Jean-Marc 1 Pope, Stephen B. 1 Popov, Pavel P. 1 Possamaï, Dylan 1 Pröhle, T. 1 Rozkosz, Andrzej 1 San Martín, Jaime 1 Sanz-Solé, Marta 1 Saplaouras, Alexandros 1 Scheinkman, José Alexandre 1 Seifried, Frank Thomas 1 Sghir, Aissa 1 Šiaulys, Jonas 1 Simas, Alexandre B. 1 Šimon, Prokop 1 Stadje, Mitja 1 Tanaka, Akihiro 1 Toldo, Sandrine 1 Torres, Soledad 1 Vidmar, Matija 1 Wang, Haifeng 1 Weber, Michel Jean Georges 1 Yaegashi, Yuta 1 Yan, Yubin 1 Yoshioka, Hidekazu 1 Yoshioka, Yumi 1 Zaitseva, E. A. 1 Zhang, Guichang 1 Zhang, Shuguang 1 Zhang, Xiaohong 1 Zhang, Xingpeng
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#### Cited in 33 Serials

 13 Lithuanian Mathematical Journal 12 Stochastic Processes and their Applications 5 Mathematics and Computers in Simulation 3 Stochastic Analysis and Applications 2 Computers & Mathematics with Applications 2 The Annals of Probability 2 Applied Numerical Mathematics 2 The Annals of Applied Probability 2 Bernoulli 1 Advances in Applied Probability 1 Journal of Computational Physics 1 Journal of Mathematical Analysis and Applications 1 Stochastics 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Optimization 1 BIT 1 Journal of Computational and Applied Mathematics 1 Journal of Economic Theory 1 Kybernetika 1 Rendiconti del Seminario Matematico della Università di Padova 1 Transactions of the American Mathematical Society 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Probability Theory and Related Fields 1 Numerical Algorithms 1 Journal of Mathematical Sciences (New York) 1 Random Operators and Stochastic Equations 1 Electronic Journal of Probability 1 Finance and Stochastics 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Inequalities and Applications 1 International Journal of Theoretical and Applied Finance 1 Mathematical Sciences
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#### Cited in 16 Fields

 60 Probability theory and stochastic processes (60-XX) 25 Numerical analysis (65-XX) 8 Ordinary differential equations (34-XX) 7 Partial differential equations (35-XX) 7 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 4 Statistics (62-XX) 2 Number theory (11-XX) 2 Measure and integration (28-XX) 2 Functional analysis (46-XX) 2 Computer science (68-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX)

#### Wikidata Timeline

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