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Modern Stochastics. Theory and Applications

Short Title: Mod. Stoch., Theory Appl.
Publisher: VTeX, Vilnius; Vilnius University, Vilnius; Taras Shevchenko National University of Kyiv, Kyiv
ISSN: 2351-6046; 2351-6054/e
Online: https://www.vmsta.org/journal/VMSTA/issues
Comments: Journal; Indexed cover-to-cover; This journal is available open access.
Documents Indexed: 240 Publications (since 2014)
References Indexed: 227 Publications with 4,941 References.
all top 5

Authors

20 Mishura, Yuliya Stepanivna
8 Kukush, Oleksandr Georgiĭovych
8 Kulik, Alexey M.
8 Ralchenko, Kostiantyn V.
8 Sakhno, Lyudmyla Mykhaĭlivna
8 Shevchenko, Georgiy M.
8 Šiaulys, Jonas
7 Maĭboroda, Rostyslav Yevgenovych
5 Macci, Claudio
5 Marynych, Alexander V.
5 Ragulina, Olena
5 Shklyar, Sergiĭ Volodymyrovych
5 Viitasaari, Lauri
4 Ganychenko, Iurii
4 Ivanov, Aleksandr Vladimirovich
4 Orsingher, Enzo
4 Pacchiarotti, Barbara
4 Radchenko, Vadym Mykolaĭovych
3 Bohun, Vladyslav
3 Di Persio, Luca
3 El Otmani, Mohamed
3 Golomoziy, Vitaliy
3 Gushchin, Aleksandr Aleksandrovich
3 Ilmonen, Pauliina
3 Kubilius, Kȩstutis
3 Kulinich, Grygoriĭ Logvynovych
3 Kushnirenko, Svitlana V.
3 Mayster, Penka
3 Podolskij, Mark
3 Sottinen, Tommi
3 Sugakova, Olena Volodymyrivna
3 Tchorbadjieff, Assen
3 Tsaregorodtsev, Yaroslav
3 Yurchenko-Tytarenko, Anton
3 Zili, Mounir
2 Andrulytė, Ieva Marija
2 Avetisian, Diana
2 Azmoodeh, Ehsan
2 Barczy, Mátyás
2 Borysenko, Oleksandr Danylovych
2 Borysenko, Olga V.
2 Borzykh, Dmitriy A.
2 Buchak, Khrystyna
2 Buryak, Filipp
2 Čekanavičius, Vydas
2 Chimisov, C.
2 De Gregorio, Alessandro
2 D’Ovidio, Mirko
2 Es-Sebaiy, Khalifa
2 Garra, Roberto
2 Grigutis, Andrius
2 Heß, Markus
2 Iksanov, Aleksander M.
2 Kievinaitė, Dominyka
2 Knopova, Victoria Pavlovna
2 Kozachenko, Yuriĭ Vasyl’ovych
2 Kuchuk-Iatsenko, Sergii
2 Leipus, Remigijus
2 Manikin, Boris
2 Marzougue, Mohamed
2 Matsak, Ivan K.
2 Miroshnichenko, Vitalii
2 Möhle, Martin
2 Ouknine, Youssef
2 Pap, Gyula
2 Pryhara, Larysa
2 Rincón, Luis A.
2 Rohde, Victor Ulrich
2 Santana, David J.
2 Soboleva, Daryna D.
2 Sprindys, Jonas
2 Torbin, Grygoriy Myroslavovych
2 Tudor, Ciprian A.
2 Tzaninis, Spyridon M.
2 Voutilainen, Marko
2 Yakovliev, Mykyta
2 Zaevski, Tsvetelin Stefanov
1 Al-Foraih, Mishari
1 Alazemi, Fares
1 Aleksidze, Lela
1 Alfelt, Gustav
1 Alfredsson, Lars
1 Alia, Ishak
1 Amorino, Chiara
1 Angelani, Luca
1 Ano, Katsunori
1 Araya, Héctor
1 Bagdonavičius, Vilijandas B.
1 Bahchedjioglou, O. O.
1 Balde, Maoudo Faramba
1 Banna, Oksana L.
1 Basse-O’Connor, Andreas
1 Beghin, Luisa
1 Bel Hadj Khlifa, Meriem
1 Belfadli, Rachid
1 Belyaev, Yuriĭ Konstantinovich
1 Benth, Fred Espen
1 Berger, David
1 Bernackaitė, Emilija
1 Bezborodov, Viktor
...and 204 more Authors

Publications by Year

Citations contained in zbMATH Open

144 Publications have been cited 437 times in 350 Documents Cited by Year
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
15
2018
Estimation of the drift parameter for the fractional stochastic heat equation via power variation. Zbl 1458.60043
Khalil, Zeina Mahdi; Tudor, Ciprian
12
2019
On aggregation of multitype Galton-Watson branching processes with immigration. Zbl 1391.60209
Barczy, Mátyás; Nedényi, Fanni K.; Pap, Gyula
9
2018
Double barrier reflected BSDEs with stochastic Lipschitz coefficient. Zbl 1382.60083
Marzougue, Mohamed; El Otmani, Mohamed
9
2017
Stochastic wave equation in a plane driven by spatial stable noise. Zbl 1352.60092
Pryhara, Larysa; Shevchenko, Georgiy
8
2016
A Lundberg-type inequality for an inhomogeneous renewal risk model. Zbl 1414.91157
Andrulytė, Ieva Marija; Bernackaitė, Emilija; Kievinaitė, Dominyka; Šiaulys, Jonas
8
2015
Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process. Zbl 1352.60041
Marushkevych, Dmytro
7
2016
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. Zbl 1417.62158
Böttcher, Björn; Keller-Ressel, Martin; Schilling, René L.
7
2018
On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables. Zbl 1412.60048
Zolotukhin, Anatolii; Nagaev, Sergei; Chebotarev, Vladimir
7
2018
Moderate deviations for a stochastic Burgers equation. Zbl 1426.60031
Belfadli, Rachid; Boulanba, Lahcen; Mellouk, Mohamed
7
2019
Nonparametric Bayesian inference for multidimensional compound Poisson processes. Zbl 1349.62115
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
7
2015
Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
7
2015
Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail. Zbl 1349.60010
Danilenko, Svetlana; Paškauskaitė, Simona; Šiaulys, Jonas
6
2016
Ruin probability in the three-seasonal discrete-time risk model. Zbl 1349.91137
Grigutis, Andrius; Korvel, Agneška; Šiaulys, Jonas
6
2015
Rates of approximation of nonsmooth integral-type functionals of Markov processes. Zbl 1349.60126
Ganychenko, Iu.; Kulik, A.
6
2014
\(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration. Zbl 1361.60041
Eddahbi, M’hamed; Fakhouri, Imade; Ouknine, Youssef
6
2017
Randomly stopped maximum and maximum of sums with consistently varying distributions. Zbl 1372.60064
Andrulytė, Ieva Marija; Manstavičius, Martynas; Šiaulys, Jonas
6
2017
A functional limit theorem for random processes with immigration in the case of heavy tails. Zbl 1368.60036
Marynych, Alexander; Verovkin, Glib
6
2017
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. Zbl 1393.91100
Kievinaitė, Dominyka; Šiaulys, Jonas
6
2018
Jackknife covariance matrix estimation for observations from mixture. Zbl 1439.62154
Maiboroda, Rostyslav; Sugakova, Olena
6
2019
Random iterations of homeomorphisms on the circle. Zbl 1380.37081
Gelfert, Katrin; Stenflo, Örjan
6
2017
Randomly stopped sums with consistently varying distributions. Zbl 1349.60083
Kizinevič, Edita; Sprindys, Jonas; Šiaulys, Jonas
5
2016
An estimate for an expectation of the simultaneous renewal for time-inhomogeneous Markov chains. Zbl 1355.60097
Golomoziy, Vitaliy
5
2016
Studies on generalized Yule models. Zbl 1426.60057
Polito, Federico
5
2018
Compositions of Poisson and Gamma processes. Zbl 1368.60052
Buchak, Khrystyna; Sakhno, Lyudmyla
5
2017
Averaging principle for a stochastic cable equation. Zbl 1479.60123
Bodnarchuk, Iryna
5
2020
Quantifying non-monotonicity of functions and the lack of positivity in signed measures. Zbl 1398.91323
Davydov, Youri; Zitikis, Ričardas
5
2017
Probability distributions for the run-and-tumble models with variable speed and tumbling rate. Zbl 1426.60116
Angelani, Luca; Garra, Roberto
4
2018
On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence. Zbl 1442.60073
Golomoziy, Vitaliy
4
2019
Maximum likelihood estimation in the non-ergodic fractional Vasicek model. Zbl 1440.60029
Lohvinenko, Stanislav; Ralchenko, Kostiantyn
4
2019
Asymptotic normality of corrected estimator in Cox proportional hazards model with measurement error. Zbl 1308.62188
Chimisov, C.; Kukush, A.
4
2014
LAN property for discretely observed solutions to Lévy driven SDE’s. Zbl 1312.60085
Ivanenko, D.; Kulik, A.
4
2014
Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients. Zbl 1309.60061
Kulinich, G.; Kushnirenko, S.
4
2014
On the Feynman-Kac semigroup for some Markov processes. Zbl 1352.60110
Knopova, Victoria
4
2015
Linear regression by observations from mixture with varying concentrations. Zbl 1349.62315
Liubashenko, Daryna; Maiboroda, Rostyslav
4
2015
Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya
4
2015
Accuracy of discrete approximation for integral functionals of Markov processes. Zbl 1352.60108
Ganychenko, Iurii; Knopova, Victoria; Kulik, Alexei
4
2015
Heat equation with general stochastic measure colored in time. Zbl 1349.60111
Radchenko, Vadym
4
2014
A criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process. Zbl 1349.62384
Kozachenko, Yuriy; Troshki, Viktor
4
2014
Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151
Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr
4
2014
Properties of Poisson processes directed by compound Poisson-gamma subordinators. Zbl 1391.60097
Buchak, Khrystyna; Sakhno, Lyudmyla
4
2018
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
4
2020
Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024
Mishura, Yuliya; Shklyar, Sergiy
4
2022
Averaging principle for the one-dimensional parabolic equation driven by stochastic measure. Zbl 1495.60041
Manikin, Boris
4
2022
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. Zbl 1435.60039
Macheras, Nikolaos D.; Tzaninis, Spyridon M.
4
2020
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
4
2017
The risk model with stochastic premiums, dependence and a threshold dividend strategy. Zbl 1410.91284
Ragulina, Olena
4
2017
On model Fitting and estimation of strictly stationary processes. Zbl 1382.60062
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
4
2017
Approximations for a solution to stochastic heat equation with stable noise. Zbl 1352.60091
Pryhara, Larysa; Shevchenko, Georgiy
3
2016
Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness. Zbl 1355.60073
El Barrimi, Oussama; Ouknine, Youssef
3
2016
Approximation of solutions of the stochastic wave equation by using the Fourier series. Zbl 1433.60062
Radchenko, Vadym; Stefans’ka, Nelia
3
2018
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
3
2018
The risk model with stochastic premiums and a multi-layer dividend strategy. Zbl 1427.91240
Ragulina, Olena
3
2019
Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator. Zbl 1437.60039
Zili, Mounir; Zougar, Eya
3
2019
Stochastic models associated to a nonlocal porous medium equation. Zbl 1436.60062
De Gregorio, Alessandro
3
2018
On the infinite divisibility of distributions of some inverse subordinators. Zbl 1426.60018
Kumar, Arun; Nane, Erkan
3
2018
Note on AR(1)-characterisation of stationary processes and model fitting. Zbl 1426.60038
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
3
2019
A copula-based bivariate integer-valued autoregressive process with application. Zbl 1426.60037
Buteikis, Andrius; Leipus, Remigijus
3
2019
European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134
Mishura, Yu.; Rizhniak, G.; Zubchenko, V.
3
2014
The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016
Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro
3
2015
Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059
Mishura, Yuliya; Voronov, Ivan
3
2015
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions. Zbl 1352.60056
Sottinen, Tommi; Viitasaari, Lauri
3
2015
Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set. Zbl 06891748
Chernova, Oksana; Kukush, Alexander
3
2018
Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise. Zbl 1391.60100
Ivanov, Alexander V.; Orlovskyi, Igor V.
3
2018
Malliavin-Stein method: a survey of some recent developments. Zbl 1476.60044
Azmoodeh, Ehsan; Peccati, Giovanni; Yang, Xiaochuan
3
2021
Gaussian Volterra processes with power-type kernels. II. Zbl 1502.60046
Mishura, Yuliya; Shklyar, Sergiy
3
2022
Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions. Zbl 1456.60166
Marzougue, Mohamed; Sagna, Yaya
3
2020
Approximations of the ruin probability in a discrete time risk model. Zbl 1457.91142
Santana, David J.; Rincón, Luis
3
2020
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation. Zbl 1457.60095
Avetisian, Diana; Ralchenko, Kostiantyn
3
2020
Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model \(AX = B\). Zbl 1419.62167
Kukush, Alexander; Tsaregorodtsev, Yaroslav
2
2016
Simulation paradoxes related to a fractional Brownian motion with small Hurst index. Zbl 1353.65012
Makogin, Vitalii
2
2016
Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia
2
2016
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071
Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir
2
2016
Consistency of the total least squares estimator in the linear errors-in-variables regression. Zbl 1417.62196
Shklyar, Sergiy
2
2018
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities. Zbl 1412.60047
Ljungdahl, Mathias Mørck; Podolskij, Mark
2
2018
Existence and uniqueness of mild solution to fractional stochastic heat equation. Zbl 1442.60068
Ralchenko, Kostiantyn; Shevchenko, Georgiy
2
2018
Drifted Brownian motions governed by fractional tempered derivatives. Zbl 1423.60124
D’Ovidio, Mirko; Iafrate, Francesco; Orsingher, Enzo
2
2018
On generalized stochastic fractional integrals and related inequalities. Zbl 1426.26041
Budak, Hüseyin; Sarikaya, Mehmet Zeki
2
2018
Large deviations for conditionally Gaussian processes: estimates of level crossing probability. Zbl 1426.60034
Pacchiarotti, Barbara; Pigliacelli, Alessandro
2
2018
Tempered Hermite process. Zbl 1352.60035
Sabzikar, Farzad
2
2015
Testing hypotheses on moments by observations from a mixture with varying concentrations. Zbl 1349.62151
Doronin, Alexey; Maiboroda, Rostyslav
2
2014
Generalized fractional Brownian motion. Zbl 1361.60028
Zili, Mounir
2
2017
Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus. Zbl 1390.60198
Yilmaz, Bilgi
2
2018
Confidence ellipsoids for regression coefficients by observations from a mixture. Zbl 1392.62208
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2
2018
Sharp asymptotics for \(q\)-norms of random vectors in high-dimensional \(\ell_p^n\)-balls. Zbl 1476.60022
Kaufmann, Tom
2
2021
Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. Zbl 07700001
Elhachemy, Mohammed; El Otmani, Mohamed
2
2023
Notes on spherical bifractional Brownian motion. Zbl 1504.60058
El Omari, Mohamed
2
2022
Statistical inference for nonergodic weighted fractional Vasicek models. Zbl 1489.60059
Es-Sebaiy, Khalifa; Al-Foraih, Mishari; Alazemi, Fares
2
2021
Bounded in the mean solutions of a second-order difference equation. Zbl 1481.39010
Horodnii, Mykhailo; Kravets, Victoriia
2
2021
Geometric branching reproduction Markov processes. Zbl 1492.60242
Tchorbadjieff, Assen; Mayster, Penka
2
2020
Subordinated compound Poisson processes of order \(k\). Zbl 1479.60079
Sengar, Ayushi Singh; Upadhye, Neelesh S.
2
2020
Linear backward stochastic differential equations with Gaussian Volterra processes. Zbl 1476.35115
Knani, Habiba; Dozzi, Marco
2
2020
Asymptotic normality of modified LS estimator for mixture of nonlinear regressions. Zbl 1473.62235
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2
2020
On path-dependent SDEs involving distributional drifts. Zbl 1489.60104
Ohashi, Alberto; Russo, Francesco; Teixeira, Alan
2
2022
Estimates for distribution of suprema of solutions to higher-order partial differential equations with random initial conditions. Zbl 1434.35281
Kozachenko, Yuriy; Orsingher, Enzo; Sakhno, Lyudmyla; Vasylyk, Olga
2
2020
Weighted entropy: basic inequalities. Zbl 1378.94014
Kelbert, Mark; Stuhl, Izabella; Suhov, Yuri
2
2017
On the size of the block of 1 for \(\varXi\)-coalescents with dust. Zbl 1382.60109
Freund, Fabian; Möhle, Martin
2
2017
Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. Zbl 1352.60050
Mishura, Yuliia; Munchak, Yevheniia
1
2016
Minimax interpolation of sequences with stationary increments and cointegrated sequences. Zbl 1351.49026
Luz, Maksym; Moklyachuk, Mikhail
1
2016
Large deviation principle for one-dimensional SDEs with discontinuous coefficients. Zbl 1352.60040
Kulik, Alexei; Sobolieva, Daryna
1
2016
Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. Zbl 07700001
Elhachemy, Mohammed; El Otmani, Mohamed
2
2023
Some examples of noncentral moderate deviations for sequences of real random variables. Zbl 1521.60015
Giuliano, Rita; Macci, Claudio
1
2023
Ruin probabilities as functions of the roots of a polynomial. Zbl 1520.91101
Santana, David J.; Rincón, Luis
1
2023
Consistency of LSE for the many-dimensional symmetric textured surface parameters. Zbl 1517.62072
Dykyi, Oleksandr; Ivanov, Alexander
1
2023
Perpetual cancellable American options with convertible features. Zbl 1533.91474
Zaevski, Tsvetelin
1
2023
Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024
Mishura, Yuliya; Shklyar, Sergiy
4
2022
Averaging principle for the one-dimensional parabolic equation driven by stochastic measure. Zbl 1495.60041
Manikin, Boris
4
2022
Gaussian Volterra processes with power-type kernels. II. Zbl 1502.60046
Mishura, Yuliya; Shklyar, Sergiy
3
2022
Notes on spherical bifractional Brownian motion. Zbl 1504.60058
El Omari, Mohamed
2
2022
On path-dependent SDEs involving distributional drifts. Zbl 1489.60104
Ohashi, Alberto; Russo, Francesco; Teixeira, Alan
2
2022
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. Zbl 1504.60068
Borzykh, Dmitriy; Gushchin, Alexander
1
2022
Asymptotic properties of the parabolic equation driven by stochastic measure. Zbl 1499.60156
Manikin, Boris
1
2022
Asymptotic results for families of random variables having power series distributions. Zbl 1491.60044
Macci, Claudio; Pacchiarotti, Barbara; Villa, Elena
1
2022
Factorial moments of the critical Markov branching process with geometric reproduction of particles. Zbl 1491.60151
Tchorbadjieff, Assen; Mayster, Penka
1
2022
Asymptotic genealogies for a class of generalized Wright-Fisher models. Zbl 1486.60115
Huillet, Thierry; Möhle, Martin
1
2022
Applications of a change of measures technique for compound mixed renewal processes to the ruin problem. Zbl 1489.60140
Tzaninis, Spyridon M.
1
2022
Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices. Zbl 1489.60155
Kawamoto, Yosuke
1
2022
Malliavin-Stein method: a survey of some recent developments. Zbl 1476.60044
Azmoodeh, Ehsan; Peccati, Giovanni; Yang, Xiaochuan
3
2021
Sharp asymptotics for \(q\)-norms of random vectors in high-dimensional \(\ell_p^n\)-balls. Zbl 1476.60022
Kaufmann, Tom
2
2021
Statistical inference for nonergodic weighted fractional Vasicek models. Zbl 1489.60059
Es-Sebaiy, Khalifa; Al-Foraih, Mishari; Alazemi, Fares
2
2021
Bounded in the mean solutions of a second-order difference equation. Zbl 1481.39010
Horodnii, Mykhailo; Kravets, Victoriia
2
2021
On nonnegative solutions of SDDEs with an application to CARMA processes. Zbl 1489.60055
Nielsen, Mikkel Slot; Rohde, Victor
1
2021
Convexity and robustness of the Rényi entropy. Zbl 1479.60025
Buryak, Filipp; Mishura, Yuliya
1
2021
Modeling temporally uncorrelated components of complex-valued stationary processes. Zbl 1478.62121
Lietzén, Niko; Viitasaari, Lauri; Ilmonen, Pauliina
1
2021
Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates. Zbl 1476.60057
Beghin, Luisa; Macci, Claudio; Martinucci, Barbara
1
2021
Investigation of sample paths properties for some classes of \(\varphi \)-sub-Gaussian stochastic processes. Zbl 1479.60074
Hopkalo, Olha; Sakhno, Lyudmyla
1
2021
Existence and uniqueness of weak solution to a three-dimensional stochastic modified-Leray-alpha model of fluid turbulence. Zbl 1476.35347
Selmi, Ridha; Nasfi, Rim
1
2021
Averaging principle for a stochastic cable equation. Zbl 1479.60123
Bodnarchuk, Iryna
5
2020
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
4
2020
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. Zbl 1435.60039
Macheras, Nikolaos D.; Tzaninis, Spyridon M.
4
2020
Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions. Zbl 1456.60166
Marzougue, Mohamed; Sagna, Yaya
3
2020
Approximations of the ruin probability in a discrete time risk model. Zbl 1457.91142
Santana, David J.; Rincón, Luis
3
2020
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation. Zbl 1457.60095
Avetisian, Diana; Ralchenko, Kostiantyn
3
2020
Geometric branching reproduction Markov processes. Zbl 1492.60242
Tchorbadjieff, Assen; Mayster, Penka
2
2020
Subordinated compound Poisson processes of order \(k\). Zbl 1479.60079
Sengar, Ayushi Singh; Upadhye, Neelesh S.
2
2020
Linear backward stochastic differential equations with Gaussian Volterra processes. Zbl 1476.35115
Knani, Habiba; Dozzi, Marco
2
2020
Asymptotic normality of modified LS estimator for mixture of nonlinear regressions. Zbl 1473.62235
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2
2020
Estimates for distribution of suprema of solutions to higher-order partial differential equations with random initial conditions. Zbl 1434.35281
Kozachenko, Yuriy; Orsingher, Enzo; Sakhno, Lyudmyla; Vasylyk, Olga
2
2020
Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent. Zbl 1468.60046
Banna, Oksana; Buryak, Filipp; Mishura, Yuliya
1
2020
Prediction in polynomial errors-in-variables models. Zbl 1452.62501
Kukush, Alexander; Senko, Ivan
1
2020
On shortfall risk minimization for game options. Zbl 1476.91181
Dolinsky, Yan
1
2020
Stochastic two-species mutualism model with jumps. Zbl 1435.92050
Borysenko, Olga; Borysenko, Oleksandr
1
2020
On tail behaviour of stationary second-order Galton-Watson processes with immigration. Zbl 1473.60120
Barczy, Mátyás; Bősze, Zsuzsanna; Pap, Gyula
1
2020
A pure-jump mean-reverting short rate model. Zbl 1452.91318
Hess, Markus
1
2020
Estimation of the drift parameter for the fractional stochastic heat equation via power variation. Zbl 1458.60043
Khalil, Zeina Mahdi; Tudor, Ciprian
12
2019
Moderate deviations for a stochastic Burgers equation. Zbl 1426.60031
Belfadli, Rachid; Boulanba, Lahcen; Mellouk, Mohamed
7
2019
Jackknife covariance matrix estimation for observations from mixture. Zbl 1439.62154
Maiboroda, Rostyslav; Sugakova, Olena
6
2019
On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence. Zbl 1442.60073
Golomoziy, Vitaliy
4
2019
Maximum likelihood estimation in the non-ergodic fractional Vasicek model. Zbl 1440.60029
Lohvinenko, Stanislav; Ralchenko, Kostiantyn
4
2019
The risk model with stochastic premiums and a multi-layer dividend strategy. Zbl 1427.91240
Ragulina, Olena
3
2019
Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator. Zbl 1437.60039
Zili, Mounir; Zougar, Eya
3
2019
Note on AR(1)-characterisation of stationary processes and model fitting. Zbl 1426.60038
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
3
2019
A copula-based bivariate integer-valued autoregressive process with application. Zbl 1426.60037
Buteikis, Andrius; Leipus, Remigijus
3
2019
The asymptotic error of chaos expansion approximations for stochastic differential equations. Zbl 1439.60054
Huschto, Tony; Podolskij, Mark; Sager, Sebastian
1
2019
Logarithmic Lévy process directed by Poisson subordinator. Zbl 1474.60129
Mayster, Penka; Tchorbadjieff, Assen
1
2019
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
15
2018
On aggregation of multitype Galton-Watson branching processes with immigration. Zbl 1391.60209
Barczy, Mátyás; Nedényi, Fanni K.; Pap, Gyula
9
2018
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. Zbl 1417.62158
Böttcher, Björn; Keller-Ressel, Martin; Schilling, René L.
7
2018
On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables. Zbl 1412.60048
Zolotukhin, Anatolii; Nagaev, Sergei; Chebotarev, Vladimir
7
2018
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. Zbl 1393.91100
Kievinaitė, Dominyka; Šiaulys, Jonas
6
2018
Studies on generalized Yule models. Zbl 1426.60057
Polito, Federico
5
2018
Probability distributions for the run-and-tumble models with variable speed and tumbling rate. Zbl 1426.60116
Angelani, Luca; Garra, Roberto
4
2018
Properties of Poisson processes directed by compound Poisson-gamma subordinators. Zbl 1391.60097
Buchak, Khrystyna; Sakhno, Lyudmyla
4
2018
Approximation of solutions of the stochastic wave equation by using the Fourier series. Zbl 1433.60062
Radchenko, Vadym; Stefans&rsquo;ka, Nelia
3
2018
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
3
2018
Stochastic models associated to a nonlocal porous medium equation. Zbl 1436.60062
De Gregorio, Alessandro
3
2018
On the infinite divisibility of distributions of some inverse subordinators. Zbl 1426.60018
Kumar, Arun; Nane, Erkan
3
2018
Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set. Zbl 06891748
Chernova, Oksana; Kukush, Alexander
3
2018
Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise. Zbl 1391.60100
Ivanov, Alexander V.; Orlovskyi, Igor V.
3
2018
Consistency of the total least squares estimator in the linear errors-in-variables regression. Zbl 1417.62196
Shklyar, Sergiy
2
2018
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities. Zbl 1412.60047
Ljungdahl, Mathias Mørck; Podolskij, Mark
2
2018
Existence and uniqueness of mild solution to fractional stochastic heat equation. Zbl 1442.60068
Ralchenko, Kostiantyn; Shevchenko, Georgiy
2
2018
Drifted Brownian motions governed by fractional tempered derivatives. Zbl 1423.60124
D&rsquo;Ovidio, Mirko; Iafrate, Francesco; Orsingher, Enzo
2
2018
On generalized stochastic fractional integrals and related inequalities. Zbl 1426.26041
Budak, Hüseyin; Sarikaya, Mehmet Zeki
2
2018
Large deviations for conditionally Gaussian processes: estimates of level crossing probability. Zbl 1426.60034
Pacchiarotti, Barbara; Pigliacelli, Alessandro
2
2018
Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus. Zbl 1390.60198
Yilmaz, Bilgi
2
2018
Confidence ellipsoids for regression coefficients by observations from a mixture. Zbl 1392.62208
Miroshnichenko, Vitalii; Maiboroda, Rostyslav
2
2018
Multi-condition of stability for nonlinear stochastic non-autonomous delay differential equation. Zbl 1456.34078
Shaikhet, Leonid
1
2018
Asymptotics for the sum of three state Markov dependent random variables. Zbl 1426.60098
Liaudanskaitė, Gabija; Čekanavičius, Vydas
1
2018
Ruin probability for the bi-seasonal discrete time risk model with dependent claims. Zbl 1425.91231
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas
1
2018
Convergence rates in the central limit theorem for weighted sums of Bernoulli random fields. Zbl 1426.60029
Giraudo, Davide
1
2018
Cliquet option pricing with Meixner processes. Zbl 1390.91301
Hess, Markus
1
2018
On backward Kolmogorov equation related to CIR process. Zbl 1391.60141
Mackevičius, Vigirdas; Mongirdaitė, Gabrielė
1
2018
On closeness of two discrete weighted sums. Zbl 1391.60043
Čekanavičius, Vydas; Vellaisamy, Palaniappan
1
2018
Double barrier reflected BSDEs with stochastic Lipschitz coefficient. Zbl 1382.60083
Marzougue, Mohamed; El Otmani, Mohamed
9
2017
\(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration. Zbl 1361.60041
Eddahbi, M&rsquo;hamed; Fakhouri, Imade; Ouknine, Youssef
6
2017
Randomly stopped maximum and maximum of sums with consistently varying distributions. Zbl 1372.60064
Andrulytė, Ieva Marija; Manstavičius, Martynas; Šiaulys, Jonas
6
2017
A functional limit theorem for random processes with immigration in the case of heavy tails. Zbl 1368.60036
Marynych, Alexander; Verovkin, Glib
6
2017
Random iterations of homeomorphisms on the circle. Zbl 1380.37081
Gelfert, Katrin; Stenflo, Örjan
6
2017
Compositions of Poisson and Gamma processes. Zbl 1368.60052
Buchak, Khrystyna; Sakhno, Lyudmyla
5
2017
Quantifying non-monotonicity of functions and the lack of positivity in signed measures. Zbl 1398.91323
Davydov, Youri; Zitikis, Ričardas
5
2017
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
4
2017
The risk model with stochastic premiums, dependence and a threshold dividend strategy. Zbl 1410.91284
Ragulina, Olena
4
2017
On model Fitting and estimation of strictly stationary processes. Zbl 1382.60062
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina
4
2017
Generalized fractional Brownian motion. Zbl 1361.60028
Zili, Mounir
2
2017
Weighted entropy: basic inequalities. Zbl 1378.94014
Kelbert, Mark; Stuhl, Izabella; Suhov, Yuri
2
2017
On the size of the block of 1 for \(\varXi\)-coalescents with dust. Zbl 1382.60109
Freund, Fabian; Möhle, Martin
2
2017
Bonus-malus systems with different claim types and varying deductibles. Zbl 1414.91227
Ragulina, Olena
1
2017
Stochastic wave equation in a plane driven by spatial stable noise. Zbl 1352.60092
Pryhara, Larysa; Shevchenko, Georgiy
8
2016
Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process. Zbl 1352.60041
Marushkevych, Dmytro
7
2016
...and 44 more Documents
all top 5

Cited by 488 Authors

24 Mishura, Yuliya Stepanivna
13 Ralchenko, Kostiantyn V.
13 Šiaulys, Jonas
10 Radchenko, Vadym Mykolaĭovych
9 Maĭboroda, Rostyslav Yevgenovych
7 El Otmani, Mohamed
7 Marzougue, Mohamed
7 Prakasa Rao, B. L. S.
7 Viitasaari, Lauri
6 Golomoziy, Vitaliy
6 Kukush, Oleksandr Georgiĭovych
6 Kulik, Alexey M.
6 Sugakova, Olena Volodymyrivna
6 Tudor, Ciprian A.
5 Gushchin, Aleksandr Aleksandrovich
5 Kozachenko, Yuriĭ Vasyl’ovych
5 Neammanee, Kritsana
5 Ragulina, Olena
5 Shevchenko, Georgiy M.
5 Zili, Mounir
5 Zitikis, Ričardas
4 Azmoodeh, Ehsan
4 Bodnarchuk, I. M.
4 Gribkova, Nadezhda Viktorovna
4 Grigutis, Andrius
4 Ilmonen, Pauliina
4 Ouknine, Youssef
4 Sakhno, Lyudmyla Mykhaĭlivna
4 Sprindys, Jonas
4 Yurchenko-Tytarenko, Anton
3 Altmeyer, Randolf
3 Ascione, Giacomo
3 Barczy, Mátyás
3 Chernova, Oksana Oleksandrivna
3 Cialenco, Igor
3 Ganychenko, Iurii
3 Garra, Roberto
3 Gugushvili, Shota
3 Ivanenko, Dmytro O.
3 Ivanov, Aleksandr Vladimirovich
3 Kevei, Péter
3 Knopova, Victoria Pavlovna
3 Mayster, Penka
3 Pap, Gyula
3 Pasemann, Gregor
3 Pirozzi, Enrica
3 Shklyar, Sergiĭ Volodymyrovych
3 Sottinen, Tommi
3 Tchorbadjieff, Assen
3 Troshki, Viktor B.
3 Voutilainen, Marko
2 Avetisian, Diana
2 Barański, Krzysztof
2 Basrak, Bojan
2 Bertoin, Jean
2 Boniece, B. Cooper
2 Borzykh, Dmitriy A.
2 Böttcher, Björn
2 Čekanavičius, Vydas
2 Danilenko, Svetlana
2 Davydov, Youri
2 De Gregorio, Alessandro
2 del Barrio, Eustasio
2 Del Moral, Pierre
2 Di Crescenzo, Antonio
2 Di Persio, Luca
2 Didier, Gustavo
2 Doronin, O. V.
2 Elhachemy, Mohammed
2 Es-Sebaiy, Khalifa
2 Fakhouri, Imade
2 Freund, Fabian
2 Gamain, Julie
2 Guella, Jean Carlo
2 Guo, Junyi
2 Gupta, Neha
2 Hallin, Marc
2 Hildebrandt, Florian
2 Horodnii, M. F.
2 Iksanov, Aleksander M.
2 Jankauskas, Jonas
2 Jaunė, Eglė
2 Kim, Hyunjung
2 Kuchuk-Iatsenko, Sergii
2 Kulinich, Grygoriĭ Logvynovych
2 Kumar, Arun
2 Kushnirenko, Svitlana V.
2 Leipus, Remigijus
2 Leonenko, Nikolai N.
2 Macheras, Nikolaos Demetrios
2 Manikin, B. I.
2 Manikin, Boris
2 Marynych, Alexander V.
2 Miroshnichenko, Vitalii
2 Mohan, Manil Thankamani
2 Munchak, Ye. Yu.
2 Navickienė, Olga
2 Nedényi, Fanni K.
2 Pacchiarotti, Barbara
2 Piterbarg, Vladimir Il’ich
...and 388 more Authors
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Cited in 119 Journals

56 Modern Stochastics. Theory and Applications
43 Theory of Probability and Mathematical Statistics
15 Communications in Statistics. Theory and Methods
14 Stochastic Processes and their Applications
9 Lithuanian Mathematical Journal
8 Statistics & Probability Letters
7 Journal of Theoretical Probability
7 Random Operators and Stochastic Equations
7 Nonlinear Analysis. Modelling and Control
7 Stochastics
6 Stochastic Analysis and Applications
6 Electronic Journal of Probability
5 Statistical Inference for Stochastic Processes
4 Journal of Statistical Physics
4 Journal of Applied Probability
4 Journal of Mathematical Sciences (New York)
4 Bernoulli
4 Fractional Calculus & Applied Analysis
4 Methodology and Computing in Applied Probability
3 Scandinavian Journal of Statistics
3 Journal of Computational and Applied Mathematics
3 Journal of Inequalities and Applications
3 Brazilian Journal of Probability and Statistics
3 Stochastic Models
3 Stochastics and Dynamics
3 ALEA. Latin American Journal of Probability and Mathematical Statistics
3 Electronic Journal of Statistics
2 Advances in Applied Probability
2 Journal of Mathematical Physics
2 Mathematical Methods in the Applied Sciences
2 Ukrainian Mathematical Journal
2 Theory of Probability and its Applications
2 The Annals of Statistics
2 Applied Mathematics and Computation
2 Insurance Mathematics & Economics
2 International Journal of Computer Mathematics
2 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics
2 Mathematical Methods of Statistics
2 International Journal of Theoretical and Applied Finance
2 Journal of Statistical Theory and Practice
2 Sankhyā. Series A
2 AIMS Mathematics
1 Journal of Mathematical Analysis and Applications
1 Metrika
1 Moscow University Mathematics Bulletin
1 Nonlinearity
1 Russian Mathematical Surveys
1 Chaos, Solitons and Fractals
1 Archiv der Mathematik
1 Collectanea Mathematica
1 Fuzzy Sets and Systems
1 Journal of Differential Equations
1 Journal of Functional Analysis
1 Journal of the Indian Institute of Science
1 Journal of Multivariate Analysis
1 Journal of Statistical Planning and Inference
1 Mathematica Slovaca
1 Metron
1 Results in Mathematics
1 SIAM Journal on Control and Optimization
1 Ergodic Theory and Dynamical Systems
1 Bulletin of the Korean Mathematical Society
1 Probability and Mathematical Statistics
1 Statistics
1 Probability Theory and Related Fields
1 Statistical Science
1 Econometric Reviews
1 Asymptotic Analysis
1 MCSS. Mathematics of Control, Signals, and Systems
1 Journal of Integral Equations and Applications
1 Random Structures & Algorithms
1 The Annals of Applied Probability
1 Glasnik Matematički. Serija III
1 Journal of Statistical Computation and Simulation
1 SIAM Journal on Applied Mathematics
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Statistics and Data Analysis
1 Journal of Dynamics and Differential Equations
1 SIAM Journal on Optimization
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Journal of Nonlinear Science
1 Applied and Computational Harmonic Analysis
1 Applicationes Mathematicae
1 Bulletin des Sciences Mathématiques
1 Monte Carlo Methods and Applications
1 Electronic Communications in Probability
1 Documenta Mathematica
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Mathematical Methods of Operations Research
1 Informatica (Vilnius)
1 Extremes
1 Communications in Nonlinear Science and Numerical Simulation
1 Communications in Contemporary Mathematics
1 Qualitative Theory of Dynamical Systems
1 Journal of Evolution Equations
1 Moscow Mathematical Journal
1 Acta Mathematica Scientia. Series B. (English Edition)
1 North American Actuarial Journal
1 Journal of Statistical Mechanics: Theory and Experiment
1 Mathematical Biosciences and Engineering
...and 19 more Journals

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