Auflistung Schriftenreihen und Sammelbände nach Titel
Anzeige der Publikationen 3415-3434 von 5414
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2005-10-13BuchOn integrals with respect to Lévy processes
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2005-10-24BuchOn Itô's formula for multidimensional Brownian motion
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2006-06-01BuchOn L2-Projections on a Space of Stochastic Integrals
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2003-12-03BuchOn L2-stability of solutions of Linear Stochastic Delay Differential Equations
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2005-10-20BuchOn Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay We obtain an explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with observed Ornstein-Uhlenbeck processes and get explicit rates of decrease for error probabilities of Neyman-Pearson, ...
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2005-10-21BuchOn life-time-distributions of some one-dimensional diffusions and related exponential families Diffusions X on the positive halfaxis with elastic killing boundary at zero and inaccessible boundary at ∞ are considered. The life-time ζ is finite and hθ(x) = Ex exp(θζ), n ≥ 0, is an θ-excessive function. The h(θ)-transforms ...
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2005-10-21BuchOn linear differential-algebraic equations and linearizations On the background of a careful analysis of linear DAEs, linearizations of nonlinear index-2 systems are considered. Finding appropriate function spaces and their topologies allows to apply the standard Implicit Function ...
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2005-11-03BuchOn linear differential-algebraic equations with properly stated leading term We consider in this work linear, time-varying differential-algebraic equations (DAEs) of the form A(t)(D(t)x(t))'+B(t)x(t)=q(t) through a projector approach. Our analysis applies in particular to linear DAEs in standard ...
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2005-11-03BuchOn linear differential-algebraic equations with properly stated leading term This paper addresses critical points of linear differential-algebraic equations (DAEs) of the form A(t)(D(t)x(t))' + B(t)x(t) = q(t) within a projector-based framework. We present a taxonomy of critical points which reflects ...
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2005-11-07BuchOn linear-quadratic optimal control problems for time-varying descriptor systems The solvability of a linear-quadratic optimal control problem in a Hilbert space for time-varying descriptor systems is established under some conditions. Unlike previous works of other authors that are devoted to ...
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2005-06-13DiskussionspapierOn Local Times of Ranked Continuous Semimartingales We derive the decomposition of the ranked continuous semimartingales i.e. orderstatistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.
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2005-11-07BuchOn logarithmic norms for differential algebraic equations Logarithmic matrix norms are well known in the theory of ordinary differential equations (ODEs) where they supply estimates for error growth and the growth of the solutions. In this paper we present a natural generalization ...
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2002-07-24BuchOn Lp-stability of numerical schemes for Affine Stochastic Delay Differential Equations
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2005-10-20BuchOn Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes We study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under ...
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2006-09-11DiskussionspapierOn Maximal Inequalities for some Jump Processes We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where ...
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2005-11-16BuchOn Maxwell's equations in exterior domains In this paper the long time asymptotic behavior of solutions of Maxwell's equations with electric conductivity in an exterior domain with mixed boundary conditions is investigated. It is shown that the solution behaves ...
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2006-01-20BuchOn model based seasonal adjustment procedures In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the ...
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2005-10-21BuchOn Modifications of the Standard Embedding in Nonlinear Optimization This paper deals with pathfollowing methods in nonlinear optimization. We study the so- called "standard embedding" and show its limits. Then, we modify this embedding from several points of view and obtain modified standard ...
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2005-11-04BuchOn optimality conditions for some nonsmooth optimization problems over Lp spaces The paper deals with the minimization of an integral functional over an $L^{p}$ space subject to various types of constraints. For such optimization problems new necessary optimality conditions are derived, based on several ...
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2005-10-12BuchOn oscillations of the geometric Brownian motion with time delayed drift