Zobrazeno 1 - 5
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pro vyhledávání: '"L. B. Vovk"'
Publikováno v:
Cybernetics and Systems Analysis. 52:107-112
We consider the control problem for Markov processes with discrete time. The multi-task model of inventory control for decreasing functions of general costs is analyzed and the existence conditions for the optimal strategy are found. The existence of
Publikováno v:
Cybernetics and Systems Analysis. 48:636-640
This article considers conditions under which the criterion function of a Markov process with a unique minimum point can be approximated by its empirical estimate. Theorems on the convergence of an empirical function to the original one in some proba
Publikováno v:
Cybernetics and Systems Analysis. 46:500-505
A credit risk management problem for insurance investment companies is considered. An approach based on regression analysis with the use of CVaR estimate is proposed.
Autor:
L. B. Vovk
Publikováno v:
Cybernetics and Systems Analysis. 42:372-378
An estimate and a confidence interval are constructed for the Baxter parameter of a pseudo-Gaussian random process with the help of the Levi-Baxter-Gladyshev theorem for weighted variations. An essential advantage of the proposed estimation method is
Autor:
L. B. Vovk, Rostyslav Maiboroda
Publikováno v:
Ukrainian Mathematical Journal. 45:1339-1347
A consistent estimate is constructed for the discord time of a process of the Ornstein-Uhlenbeck type. The rate of the almost sure convergence of this estimate is investigated and the confidence interval is determined.