Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Sergei Pergamenshchikov"'
Publikováno v:
Sequential Analysis. 24:303-330
A sequential procedure for estimating the drift function of a diffusion process is constructed. The asymptotic properties are established, such as the optimal covergence rate for a global risk and the asymptotic efficiency for a local risk of the pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0fdd4bb0fe18a0673c3947ffee9441b5
https://doi.org/10.1081/sqa-200063289
https://doi.org/10.1081/sqa-200063289
Autor:
Yuri Kabanov, Sergei Pergamenshchikov
Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description'Stochastic Tikhonov-Levinson t
Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations
Autor:
Sergei Pergamenshchikov, V. Konev
Publikováno v:
Sequential Analysis. 22:1-29
The problem considered is that of approximating the root of a function under the assumption that the observation noise is modelled as a stationary autoregressive process with unknown (nuisance) parameters. An example is given which shows that in this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b5e706f98d92ec0d0bd26e080b98a10
https://doi.org/10.1081/sqa-120022081
https://doi.org/10.1081/sqa-120022081
Publikováno v:
Sequential Analysis. 16:25-46
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bdf85f6762464902ac1e18ddd364b0de
https://doi.org/10.1080/07474949708836371
https://doi.org/10.1080/07474949708836371
Autor:
Sergei Pergamenshchikov, Yuri Kabanov
Publikováno v:
SIAM Journal on Control and Optimization
A limit of attainability sets is found for a linear two-scale stochastic system for the case when the diffusion coefficient of the fast variable is of order $\varepsilon^{1/2}$. The attainability set is defined as the set of distributions of attainab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8b3224efeda411af29cc4acb5bce2c17
https://doi.org/10.1137/s0363012994269685
https://doi.org/10.1137/s0363012994269685
Autor:
Yuri Kabanov, Sergei Pergamenshchikov
Publikováno v:
Two-Scale Stochastic Systems ISBN: 9783642084676
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d980c99b53be49ac5de0af80f71cc79
https://doi.org/10.1007/978-3-662-13242-5_1
https://doi.org/10.1007/978-3-662-13242-5_1
Autor:
Yuri Kabanov, Sergei Pergamenshchikov
Publikováno v:
Two-Scale Stochastic Systems ISBN: 9783642084676
Let us consider the following initial value problem for the system of ordinary differential equations $$dx_t^\varepsilon = f\left( {t,x_t^\varepsilon ,y_t^\varepsilon } \right)dt,\;x_0^\varepsilon = {x^0}$$ (2.0.1) $$\varepsilon dy_t^\varepsilon = F\
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3f3c9eed6ba247a82ab1c6778b28649
https://doi.org/10.1007/978-3-662-13242-5_3
https://doi.org/10.1007/978-3-662-13242-5_3
Autor:
Yuri Kabanov, Sergei Pergamenshchikov
Publikováno v:
Two-Scale Stochastic Systems ISBN: 9783642084676
In this chapter we study the limiting behavior of the optimal value of a cost functional for controlled two-scale stochastic systems with a small parameter tending to zero. In Section 5.1 we consider the Bolza problem where the cost functional contai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3657e37276ded70785c6c1a08e377a24
https://doi.org/10.1007/978-3-662-13242-5_6
https://doi.org/10.1007/978-3-662-13242-5_6
Autor:
Yuri Kabanov, Sergei Pergamenshchikov
Publikováno v:
Two-Scale Stochastic Systems ISBN: 9783642084676
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b50e5a3014d628c4b7bd7048d9a41ef
https://doi.org/10.1007/978-3-662-13242-5_7
https://doi.org/10.1007/978-3-662-13242-5_7