Application of the theory of square-Gaussian processes to simulation of stochastic processes
In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions
 under which the constructed model approximates stochastic process in Banach...
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| Date: | 2006 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4456 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Application of the theory of square-Gaussian processes to simulation of stochastic processes / Y. Kozachenko, I. Rozora // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 43–54. — Бібліогр.: 9 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862645600805191680 |
|---|---|
| author | Kozachenko, Y. Rozora, I. |
| author_facet | Kozachenko, Y. Rozora, I. |
| citation_txt | Application of the theory of square-Gaussian processes to simulation of stochastic processes / Y. Kozachenko, I. Rozora // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 43–54. — Бібліогр.: 9 назв.— англ. |
| collection | DSpace DC |
| description | In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions
under which the constructed model approximates stochastic process in Banach space with given accuracy and reliability. The obtained results can be widely used in actuarial science and financial mathematics.
|
| first_indexed | 2025-12-01T11:00:18Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4456 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-01T11:00:18Z |
| publishDate | 2006 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Kozachenko, Y. Rozora, I. 2009-11-11T15:19:34Z 2009-11-11T15:19:34Z 2006 Application of the theory of square-Gaussian processes to simulation of stochastic processes / Y. Kozachenko, I. Rozora // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 43–54. — Бібліогр.: 9 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4456 In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions
 under which the constructed model approximates stochastic process in Banach space with given accuracy and reliability. The obtained results can be widely used in actuarial science and financial mathematics. en Інститут математики НАН України Application of the theory of square-Gaussian processes to simulation of stochastic processes Article published earlier |
| spellingShingle | Application of the theory of square-Gaussian processes to simulation of stochastic processes Kozachenko, Y. Rozora, I. |
| title | Application of the theory of square-Gaussian processes to simulation of stochastic processes |
| title_full | Application of the theory of square-Gaussian processes to simulation of stochastic processes |
| title_fullStr | Application of the theory of square-Gaussian processes to simulation of stochastic processes |
| title_full_unstemmed | Application of the theory of square-Gaussian processes to simulation of stochastic processes |
| title_short | Application of the theory of square-Gaussian processes to simulation of stochastic processes |
| title_sort | application of the theory of square-gaussian processes to simulation of stochastic processes |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4456 |
| work_keys_str_mv | AT kozachenkoy applicationofthetheoryofsquaregaussianprocessestosimulationofstochasticprocesses AT rozorai applicationofthetheoryofsquaregaussianprocessestosimulationofstochasticprocesses |