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pro vyhledávání: '"Yuri Kifer"'
Autor:
Yuri Kifer
Publikováno v:
Ergodic Theory and Dynamical Systems. 42:1098-1121
For a $\psi $ -mixing process $\xi _0,\xi _1,\xi _2,\ldots $ we consider the number ${\mathcal N}_N$ of multiple returns $\{\xi _{q_{i,N}(n)}\in {\Gamma }_N,\, i=1,\ldots ,\ell \}$ to a set ${\Gamma }_N$ for n until either a fixed number N or until t
Publikováno v:
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 58
Autor:
Fan Yang, Yuri Kifer
Publikováno v:
Israel Journal of Mathematics. 244:319-357
We consider a ϕ-mixing shift T on a sequence space Ω and study the number of returns {Tkω ∈ U} to a union U of cylinders of length n until the first return {Tkω ∈ V} to another union V of cylinder sets of length m. It turns out that if probab
Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices
Autor:
Yuri Kifer
Publikováno v:
Journal of Stochastic Analysis. 2
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $\sigma$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}\sigma(X_N(n/N))\xi(n+1)+N^{-1}b(XN(n/N)); where \xi(n);
Autor:
Yuri Kifer
Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and stochastic analysis. This book is the first one which presents not only main results in the mathematical finance but also these'related topics'with all proof
Autor:
Yeor Hafouta, Yuri Kifer
Publikováno v:
Stochastic Processes and their Applications. 126:2430-2464
We obtain Berry-Esseen type estimates for “nonconventional” expressions of the form ξ N = 1 N ∑ n = 1 N ( F ( X ( q 1 ( n ) ) , … , X ( q l ( n ) ) ) − F ) where X ( n ) is a sufficiently fast mixing vector process with some moment conditi
Autor:
Yuri Kifer, Sasha Sodin
Publikováno v:
Electron. Commun. Probab.
The proof of Theorem 2.3 in our paper [3] is fully justified only under the additional assumption $q_i(n)=a_in+b_i,\, i=1,...,\ell $.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a707cb0d904359724f366b61ca038fd1
https://projecteuclid.org/euclid.ecp/1549530018
https://projecteuclid.org/euclid.ecp/1549530018
Autor:
Yuri Kifer, Ariel Rapaport
For a $\psi$-mixing stationary process $\xi_0,\xi_1,\xi_2,...$ we consider the number $\mathcal N_N$ of multiple recurrencies $\{\xi_{q_i(n)}\in\Gamma_N,\, i=1,...,\ell\}$ to a set $\Gamma_N$ for $n$ until the moment $\tau_N$ (which we call a hazard)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19f0fcaeaed776a9f2dbe35b41e4ca38
http://arxiv.org/abs/1802.07501
http://arxiv.org/abs/1802.07501
Autor:
Yeor Hafouta, Yuri Kifer
The book is devoted to limit theorems for nonconventional sums and arrays. Asymptotic behavior of such sums were first studied in ergodic theory but recently it turned out that main limit theorems of probability theory, such as central, local and Poi