Электронная библиотека (репозиторий) Томского государственного университета

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Add   Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Authors: Kabanov, Andrej M. | Pergamenshchikov, Serguei M.
Source: Finance and stochastics. 2020. Vol. 24, № 1. P. 39-69
Type: статьи в журналах
Date: 2020
Description: We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy processes. Our main ´ interest is the model describing the evolu ... More
Add   Improved model selection method for an adaptive estimation in semimartingale regression models
Authors: Pchelintsev, Evgeny A. | Pergamenshchikov, Serguei M.
Source: Вестник Томского государственного университета. Математика и механика. 2019. № 58. С. 14-31
Type: статьи в журналах
Date: 2019
Description: This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general square integrable sem ... More
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