2016, Springer series in operations research and financial engineering, ISBN 3319296787, xv, 320 pages

Book

2016, Springer Series in Operations Research and Financial Engineering, ISBN 3319296787

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the...

Economic theory | Mathematics | Statistics | Probabilities

Economic theory | Mathematics | Statistics | Probabilities

Web Resource

Stochastic Processes and their Applications, ISSN 0304-4149, 2019

For a time dependent family of probability measures (ρ ) we consider a kinetic-type evolution equation ∂ϕ ∕∂t+ϕ =Q̂ϕ where Q̂ is a smoothing transform and ϕ is...

Kac model | Biggins martingale | Derivative martingale | Smoothing transform | Random trees | Kinetic equation

Kac model | Biggins martingale | Derivative martingale | Smoothing transform | Random trees | Kinetic equation

Journal Article

Journal of Applied Probability, ISSN 0021-9002, 12/2017, Volume 54, Issue 4, pp. 1089 - 1110

Given a sequence (M-k, Q(k))(k >= 1) of independent and identically distributed random vectors with nonnegative components, we consider the recursive Markov...

Attractor set | transience | null recurrence | random difference equation | perpetuity | INVARIANT-MEASURES | Attraetor set | THEOREMS | RANDOM-WALK | CONVERGENCE | STATISTICS & PROBABILITY | Difference equations | Probability | Markov chains

Attractor set | transience | null recurrence | random difference equation | perpetuity | INVARIANT-MEASURES | Attraetor set | THEOREMS | RANDOM-WALK | CONVERGENCE | STATISTICS & PROBABILITY | Difference equations | Probability | Markov chains

Journal Article

Journal of Applied Probability, ISSN 0021-9002, 06/2018, Volume 55, Issue 2, pp. 368 - 389

An infinite convergent sum of independent and identically distributed random variables discounted by a multiplicative random walk is called perpetuity, because...

Distribution tail | exponential moment | selfdecomposable distribution | perpetuity | REGULAR VARIATION | THIN TAILS | PRODUCTS | RENEWAL THEORY | STATISTICS & PROBABILITY | ASYMPTOTICS | Random walk | Random variables

Distribution tail | exponential moment | selfdecomposable distribution | perpetuity | REGULAR VARIATION | THIN TAILS | PRODUCTS | RENEWAL THEORY | STATISTICS & PROBABILITY | ASYMPTOTICS | Random walk | Random variables

Journal Article

ELECTRONIC JOURNAL OF PROBABILITY, ISSN 1083-6489, 2018, Volume 23

We study one-dimensional nearest neighbour random walk in site-dependent random environment. We establish precise (sharp) large deviations in the so-called...

large deviations | branching process with immigration | TIMES | DIMENSIONAL RANDOM-WALK | EQUATIONS | STATISTICS & PROBABILITY | random walk in random environment

large deviations | branching process with immigration | TIMES | DIMENSIONAL RANDOM-WALK | EQUATIONS | STATISTICS & PROBABILITY | random walk in random environment

Journal Article

Journal of Difference Equations and Applications, ISSN 1023-6198, 02/2014, Volume 20, Issue 2, pp. 188 - 209

We consider solutions of the stochastic equation , where N is a random natural number, B and A i are random positive numbers and X i are independent copies of...

linear stochastic equation | large deviations | primary 60H25 | secondary 60J80, 60F10 | smoothing transform | regular variation | MATHEMATICS, APPLIED | 60F10 | RENEWAL THEORY | secondary 60J80 | X-N | CONVERGENCE | MINIMAL POSITION | FIXED-POINTS | Tangents | Reproduction | Difference equations | Asymptotic properties | Mathematical analysis | Images | Stochasticity

linear stochastic equation | large deviations | primary 60H25 | secondary 60J80, 60F10 | smoothing transform | regular variation | MATHEMATICS, APPLIED | 60F10 | RENEWAL THEORY | secondary 60J80 | X-N | CONVERGENCE | MINIMAL POSITION | FIXED-POINTS | Tangents | Reproduction | Difference equations | Asymptotic properties | Mathematical analysis | Images | Stochasticity

Journal Article

Journal of Difference Equations and Applications, ISSN 1023-6198, 11/2014, Volume 20, Issue 11, pp. 1523 - 1567

Let Z be a random variable with values in a proper closed convex cone , A a random endomorphism of C and N a random integer. We assume that Z, A, N are...

products of random matrices | renewal theorem | asymptotic behaviour | fixed points | Mandelbrot's cascade | MATHEMATICS, APPLIED | LAW | RANDOM DIFFERENCE-EQUATIONS | RENEWAL THEORY | RANDOM MATRICES | PRODUCTS | THEOREMS | SMOOTHING TRANSFORM | FIXED-POINTS | BRANCHING RANDOM-WALK | Reproduction | Law | Maps | Mathematical analysis | Images | Eigenvalues | Transformations | Random variables

products of random matrices | renewal theorem | asymptotic behaviour | fixed points | Mandelbrot's cascade | MATHEMATICS, APPLIED | LAW | RANDOM DIFFERENCE-EQUATIONS | RENEWAL THEORY | RANDOM MATRICES | PRODUCTS | THEOREMS | SMOOTHING TRANSFORM | FIXED-POINTS | BRANCHING RANDOM-WALK | Reproduction | Law | Maps | Mathematical analysis | Images | Eigenvalues | Transformations | Random variables

Journal Article

Stochastic Processes and their Applications, ISSN 0304-4149, 06/2013, Volume 123, Issue 6, pp. 1947 - 1986

Let be a fixed integer and a random element of . We consider solutions of multivariate smoothing transforms, i.e. random variables satisfying where denotes...

Branching | Renewal theory | General theory | Distributions | TREES | MARKOV-CHAINS | LIMIT-THEOREM | STATISTICS & PROBABILITY | VARIANCE | RECURSIVE ALGORITHMS | FIXED-POINTS | Mathematics - Probability

Branching | Renewal theory | General theory | Distributions | TREES | MARKOV-CHAINS | LIMIT-THEOREM | STATISTICS & PROBABILITY | VARIANCE | RECURSIVE ALGORITHMS | FIXED-POINTS | Mathematics - Probability

Journal Article

Probability Theory and Related Fields, ISSN 0178-8051, 11/2010, Volume 148, Issue 3, pp. 333 - 402

We consider a Markov chain $${\{X_n\}_{n=0}^\infty}$$ on $${\mathbb R^d}$$ defined by the stochastic recursion X n = M n X n-1 + Q n , where (Q n , M n ) are...

60B15 | Statistics for Business/Economics/Mathematical Finance/Insurance | Operations Research/Decision Theory | Theoretical, Mathematical and Computational Physics | Probability Theory and Stochastic Processes | Mathematics | Mathematical Biology in General | 60J05 | Quantitative Finance | 60F05 | SYSTEMS | STATISTICS & PROBABILITY | LIMIT-THEOREMS | RANDOM MATRICES | Markov processes | Universities and colleges | Laws, regulations and rules | Analysis | Errors | Analogies | Error analysis | Markov chains | Stochasticity | Syntax | Recursion | Convergence | Probability

60B15 | Statistics for Business/Economics/Mathematical Finance/Insurance | Operations Research/Decision Theory | Theoretical, Mathematical and Computational Physics | Probability Theory and Stochastic Processes | Mathematics | Mathematical Biology in General | 60J05 | Quantitative Finance | 60F05 | SYSTEMS | STATISTICS & PROBABILITY | LIMIT-THEOREMS | RANDOM MATRICES | Markov processes | Universities and colleges | Laws, regulations and rules | Analysis | Errors | Analogies | Error analysis | Markov chains | Stochasticity | Syntax | Recursion | Convergence | Probability

Journal Article

11.
Full Text
Tail-homogeneity of stationary measures for some multidimensional stochastic recursions

Probability Theory and Related Fields, ISSN 0178-8051, 2009, Volume 145, Issue 4, pp. 385 - 420

We consider a stochastic recursion Xn+1 = Mn+1Xn + Q(n+1), (n is an element of N), where (Q(n), M-n) are i.i.d. random variables such that Qn are translations,...

60J10 | 60K05 | STATISTICS & PROBABILITY | PRODUCTS | MATRICES | BEHAVIOR | Analysis | Universities and colleges | Probability | Mathematics

60J10 | 60K05 | STATISTICS & PROBABILITY | PRODUCTS | MATRICES | BEHAVIOR | Analysis | Universities and colleges | Probability | Mathematics

Journal Article

Communications in Partial Differential Equations, ISSN 0360-5302, 10/2006, Volume 31, Issue 10, pp. 1547 - 1589

On a Lie group S = NA, that is a split extension of a nilpotent Lie group N by a one-parameter group of automorphisms A, a probability measure μ is considered...

22E25 | 31B25 | Invariant measure | 60J60 | Subelliptic operator | 22E30 | Heat semigroup | Nilpotent Lie group | 43A80 | MATHEMATICS | DEGENERATE ELLIPTIC-OPERATORS | MATHEMATICS, APPLIED | heat semigroup | nilpotent Lie group | NEGATIVE CURVATURE | PRODUCTS | invariant measure | MANIFOLDS | subelliptic operator

22E25 | 31B25 | Invariant measure | 60J60 | Subelliptic operator | 22E30 | Heat semigroup | Nilpotent Lie group | 43A80 | MATHEMATICS | DEGENERATE ELLIPTIC-OPERATORS | MATHEMATICS, APPLIED | heat semigroup | nilpotent Lie group | NEGATIVE CURVATURE | PRODUCTS | invariant measure | MANIFOLDS | subelliptic operator

Journal Article

Annales de l'Institut Henri Poincare / Probabilites et statistiques, ISSN 0246-0203, 2007, Volume 43, Issue 4, pp. 417 - 440

Let be a subgroup of and let ( ) be a sequence of i.i.d. random variables with values in and law . Under some natural conditions there exists a unique...

Stationary measure | Solvable Lie groups | Poisson kernel | HOMOGENEOUS MANIFOLDS | stationary measure | solvable Lie groups | NEGATIVE CURVATURE | PRODUCTS | STATISTICS & PROBABILITY | OPERATORS

Stationary measure | Solvable Lie groups | Poisson kernel | HOMOGENEOUS MANIFOLDS | stationary measure | solvable Lie groups | NEGATIVE CURVATURE | PRODUCTS | STATISTICS & PROBABILITY | OPERATORS

Journal Article

Journal d’Analyse Mathématique, ISSN 0021-7670, 12/2006, Volume 98, Issue 1, pp. 113 - 143

We define and investigate the Riesz transform associated with the differential operatorL λ f(θ)=−f"(θ)−2λ cot’θ. We prove that it can be defined as a principal...

Abstract Harmonic Analysis | Mathematics | Functional Analysis | Dynamical Systems and Ergodic Theory | Analysis | Partial Differential Equations | MATHEMATICS | ORNSTEIN-UHLENBECK SEMIGROUP | OSCILLATION | EXPANSIONS | Polynomials

Abstract Harmonic Analysis | Mathematics | Functional Analysis | Dynamical Systems and Ergodic Theory | Analysis | Partial Differential Equations | MATHEMATICS | ORNSTEIN-UHLENBECK SEMIGROUP | OSCILLATION | EXPANSIONS | Polynomials

Journal Article

07/2016, 1st ed. 2016, Springer series in operations research and financial engineering, ISBN 3319296787, 325

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the...

Economics | Stochastic processes | Economic theory | Probability Theory and Stochastic Processes | Mathematics | Statistics for Business/Economics/Mathematical Finance/Insurance | Economic Theory/Quantitative Economics/Mathematical Methods | Stochastic models

Economics | Stochastic processes | Economic theory | Probability Theory and Stochastic Processes | Mathematics | Statistics for Business/Economics/Mathematical Finance/Insurance | Economic Theory/Quantitative Economics/Mathematical Methods | Stochastic models

eBook

The Journal of Geometric Analysis, ISSN 1050-6926, 9/2004, Volume 14, Issue 3, pp. 457 - 486

In this article we prove that bounded Hua-harmonic functions on tube domains that satisfy some boundary regularity condition are necessarily pluriharmonic. In...

Heisenberg group | 58J32 | boundary regularity | Mathematics | 35J25 | Abstract Harmonic Analysis | Fourier Analysis | 32M15 | pluriharmonic functions | Convex and Discrete Geometry | Global Analysis and Analysis on Manifolds | 22E30 | Differential Geometry | Dynamical Systems and Ergodic Theory | tube domains | Hua-harmonic functions | SYSTEM | MATHEMATICS | BALL | SPACES | IRREDUCIBLE SIEGEL DOMAINS | DIRICHLET PROBLEM | BERGMAN LAPLACIAN

Heisenberg group | 58J32 | boundary regularity | Mathematics | 35J25 | Abstract Harmonic Analysis | Fourier Analysis | 32M15 | pluriharmonic functions | Convex and Discrete Geometry | Global Analysis and Analysis on Manifolds | 22E30 | Differential Geometry | Dynamical Systems and Ergodic Theory | tube domains | Hua-harmonic functions | SYSTEM | MATHEMATICS | BALL | SPACES | IRREDUCIBLE SIEGEL DOMAINS | DIRICHLET PROBLEM | BERGMAN LAPLACIAN

Journal Article

No results were found for your search.

Cannot display more than 1000 results, please narrow the terms of your search.