The IMA volumes in mathematics and its applications. Vol.145: Topics stochastic analysis and nonparametric estimation / ed. by Chow P.-L., Mordukhovich B., Yin G. - Berlin: Springer, 2008. - xi, 210 p.: ill. - ISBN 978-0-387-75110-8  Место хранения:   01 | ГПНТБ СО РАН | Новосибирск

Оглавление / Contents

Foreword ........................................................ v Dedicated to Professor Rafail Z. Khasminskii on the occasion of his seventy-fifth birthday .................... vii Preface ........................................................ ix Part I: Asymptotic Analysis Involving Stochastic Differential Equations Some recent results on averaging principle ...................... 1 Mark Freidlin and Alexander Wentzell Cramer's theorem for nonnegative multivariate point processes with independent increments .................... 21 Fima Klebaner and Robert Liptser On bounded solutions of the balanced generalized pantograph equation ................................ 29 Leonid Bogachev, Gregory Derfel, Stanislav Molchanov, and John Ockendon Numerical methods for non-zero-sum stochastic differential games: Convergence of the Markov chain approximation method ..................................... 51 Harold J.Kushner Part II: Nonparametric Estimation On the estimation of an analytic spectral density outside of the observation band ........................ 85 Ildar A.Ibragimov On oracle inequalities related to high dimensional linear models ..................................... 105 Yuri Golubev Hypothesis testing under composite functions alternative ................................................... 123 Oleg V.Lepski and Christophe F.Pouet Part III: Stochastic Partial Differential Equations On parabolic pdes and SPDes in Sobolev spaces WЈ without and with weights ...................................... 151 Nicolai V.Krylov Stochastic parabolic equations of full second order ........... 199 Sergey V.Lototsky and Boris L.Rozovskii