Abstracts of talks given at the 8th International Conference on Stochastic Methods

Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 4, pp. 834-877

Bibliographie

[1] F. S. Nasyrov, Lokalnye vremena, simmetrichnye integraly i stokhasticheskii analiz, Fizmatlit, M., 2011, 212 pp.

[2] A. G. Sveshnikov, A. N. Bogolyubov, V. V. Kravtsov, Lektsii po matematicheskoi fizike, Uch. posob., Izd-vo MGU, M., 1993, 352 pp. | MR | Zbl

[1] A. I. Sukhinov, Yu. V. Belova, A. E. Chistyakov, “Modelirovanie biogeokhimicheskikh tsiklov v pribrezhnykh sistemakh Yuga Rossii”, Matem. modelirovanie, 33:3 (2021), 20–38 | DOI | MR | Zbl

[1] A. I. Sukhinov, A. E. Chistyakov, “Pogreshnost resheniya volnovogo uravneniya na osnove skhem s vesami”, Matem. modelirovanie, 29:4 (2017), 21–29 | MR | Zbl

[1] M. L. Esquível, G. R. Guerreiro, M. C. Oliveira, P. Corte Real, “Calibration of transition intensities for a multistate model: application to long-term care”, Risks, 9:2 (2021), 37, 17 pp. | DOI

[2] M. L. Esquível, N. P. Krasii, G. R. Guerreiro, P. Patrício, “The multi-compartment SI(RD) model with regime switching: an application to COVID-19 pandemic”, Symmetry, 13:12 (2021), 2427–2450 | DOI

[1] M. A. Fedotkin, A. M. Fedotkin, E. V. Kudryavtsev, “Dinamicheskie modeli neodnorodnogo potoka transporta na magistralyakh”, Avtomat. i telemekh., 2020, no. 8, 149–164 | DOI | MR

[2] A. M. Fedotkin, N. S. Markina, “Tsiklicheskii algoritm s prodleniem i doobsluzhivaniem pri upravlenii konfliktnymi potokami neodnorodnykh trebovanii”, v st.: “Tezisy dokladov, predstavlennykh na Sedmoi mezhdunarodnoi konferentsii po stokhasticheskim metodam. I”, Teoriya veroyatn. i ee primen., 67:4 (2022), 829–830 | DOI

[1] A. I. Sukhinov, A. E. Chistyakov, V. N. Litvinov, A. V. Nikitina, Yu. V. Belova, A. A. Filina, “Vychislitelnye aspekty matematicheskogo modelirovaniya gidrobiologicheskikh protsessov v melkovodnom vodoeme”, Vych. met. programmirovanie, 21:4 (2020), 452–469 | DOI

[1] G. Cybenko, “Approximation by superpositions of a sigmoidal function”, Math. Control Signals Systems, 2:4 (1989), 303–314 | DOI | MR | Zbl

[1] V. Barbu, G. Da Prato, M. Röckner, “Stochastic porous media equations and self-organized criticality”, Comm. Math. Phys., 285:3 (2009), 901–923 ; (2008), 29 pp., arXiv: 0801.2478v1 | DOI | MR | Zbl

[1] V. A. Dubko, “Ob odnoi modeli diffuzii s postoyannoi skorostyu”, Matematicheskie zametki SVFU, 26:3 (2019), 31–46 | DOI

[1] I. Ya. Bakelman, “Differentsialnaya geometriya gladkikh neregulyarnykh poverkhnostei”, UMN, 11:2(68) (1956), 67–124 | MR | Zbl

[2] S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. Shiryaev, “Stokhasticheskoe ischislenie”, Teoriya veroyatnostei – 3, Itogi nauki i tekhn. Ser. Sovrem. probl. mat. Fundam. napravleniya, 45, VINITI, M., 1989, 5–253 ; S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. Shiryaev, “Stochastic calculus”, Probability theory III, Encyclopaedia Math. Sci., 45, Springer-Verlag, Berlin, 1998, 1–253 | MR | Zbl | DOI | MR | Zbl

[1] A. V. Kolmogorov, “Gaussian one-armed bandit with both unknown parameters”, Sib. elektron. matem. izv., 19:2 (2022), 639–650 | DOI | MR

[1] H. M. Hudson, “A natural identity for exponential families with applications in multiparameter estimation”, Ann. Statist., 6:3 (1978), 473–484 | DOI | MR | Zbl

[2] E. A. Pchelintsev, “Protsedura Dzheimsa–Steina dlya uslovno-gaussovskoi regressii”, Vestn. Tomsk. gos. un-ta. Matem. i mekh., 2011, no. 4(16), 6–17 | Zbl

[1] A. E. Kondratenko, V. N. Sobolev, D. A. Chernyshova, “O maksimizatsii entropii drobnoi chasti svertok odinakovo raspredelennykh puassonovskikh sluchainykh velichin v nekotorykh chastnykh sluchayakh”, Vestn. Dagestan. gos. un-ta. Ser. 1. Estestv. nauki, 38:2 (2023), 32–38 | DOI

[1] M. L. Esquível, N. P. Krasii, P. P. Mota, V. V. Shamraeva, “On a coupled price-volume equity model with auto-induced regime switching”, 2023 (to appear)

[1] E. V. Kudryavtsev, M. A. Fedotkin, “Analiz diskretnoi modeli sistemy adaptivnogo upravleniya konfliktnymi neodnorodnymi potokami”, Vestn. Mosk. un-ta. Ser. 15. Vychisl. matem. i kibern., 2019, no. 1, 19–26 | MR | Zbl

[1] F. den Hollander, S. A. Molchanov, O. Zeitouni, Random media at Saint-Flour, Probab. St.-Flour, Springer, Heidelberg, 2012, vi+564 pp. | MR | Zbl

[1] D. F. Kuznetsov, Strong approximation of iterated Itô and Stratonovich stochastic integrals based on generalized multiple Fourier series. Application to numerical solution of Itô SDEs and semilinear SPDEs, 2023 (v1 – 2020), 996 pp., arXiv: 2003.14184v45

[1] O. V. Rusakov, “Puassonovskie subordinatory, pole Vinera–Ornshteina–Ulenbeka i svyaz brounovskikh mostov s perekhodnymi kharakteristikami protsessov Ornshteina–Ulenbeka”, Veroyatnost i statistika. 16, Zap. nauch. sem. POMI, 384, POMI, SPb., 2010, 225–237 ; O. V. Rusakov, “Poissonian subordinators, the Wiener–Ornstein–Uhlenbeck field, and a relation between the Ornstein–Uhlenbeck processes and Brownian bridges”, J. Math. Sci. (N.Y.), 176:2 (2011), 232–238 | MR | Zbl | DOI

[2] T. Bork, Teoriya arbitrazha v nepreryvnom vremeni, MTsNMO, M., 2010, 559 pp.; T. Björk, Arbitrage theory in continuous time, 2nd ed., Oxford Univ. Press, Oxford, 2004, xviii+466 pp. | DOI | Zbl

[1] E. Treviño-Aguilar, “Duality in a problem of static partial hedging under convex constraints”, SIAM J. Financial Math., 6:1 (2015), 1152–1170 | DOI | MR | Zbl

[1] A. Sukhinov, V. Litvinov, A. Chistyakov, A. Nikitina, N. Gracheva, N. Rudenko, “Computational aspects of solving grid equations in heterogeneous computing systems”, PaCT 2021: Parallel computing technologies, Lecture Notes in Comput. Sci., 12942, Springer, Cham, 2021, 166–177 | DOI

[1] I. I. Gikhman, A. V. Skorokhod, Teoriya sluchainykh protsessov, v. 2, Nauka, M., 1973, 639 pp. ; I. I. Gihman, A. V. Skorohod, The theory of stochastic processes, v. II, Grundlehren Math. Wiss., 218, Springer-Verlag, New York–Heidelberg, 1975, vii+441 pp. | MR | Zbl | MR | Zbl

[2] E. B. Yarovaya, Vetvyaschiesya sluchainye bluzhdaniya v neodnorodnoi srede, Izd-vo TsPI pri mekh.-matem. f-te MGU, M., 2007, 104 pp.

[3] N. V. Smorodina, E. B. Yarovaya, “Martingalnyi metod issledovaniya vetvyaschikhsya sluchainykh bluzhdanii”, UMN, 77:5(467) (2022), 193–194 | DOI | MR | Zbl

[4] N. I. Akhiezer, Klassicheskaya problema momentov i nekotorye voprosy analiza, svyazannye s neyu, Fizmatgiz, M., 1961, 310 pp. ; N. I. Akhiezer, The classical moment problem amd some related questions in analysis, Hafner Publishing Co., New York; Oliver Boyd, Edinburgh–London, 1965, x+253 pp. | MR | Zbl | MR | Zbl

[5] G. Sege, Ortogonalnye mnogochleny, Fizmatlit, M., 1962, 500 pp. ; G. Szegő, Orthogonal polynomials, Amer. Math. Soc. Colloq. Publ., 23, Rev. ed., Amer. Math. Soc., Providence, RI, 1959, ix+421 pp. | Zbl | MR | Zbl

[1] R. Koenker, G. Bassett, Jr., “Regression quantiles”, Econometrics, 46:1 (1978), 33–50 | DOI | MR | Zbl

[1] F. Nasyrov, “The pathwise-determined maximum principle and symmetric integrals”, J. Math. Sci. (N.Y.), 266:6 (2022), 817–830 | DOI | MR

[2] F. S. Nasyrov, Lokalnye vremena, simmetrichnye integraly i stokhasticheskii analiz, Fizmatlit, M., 2011, 212 pp.

[1] T. Ikebe, “Eigenfunction expansions associated with the Schroedinger operators and their applications to scattering theory”, Arch. Rational Mech. Anal., 5 (1960), 1–34 | DOI | MR | Zbl

[2] M. Sh. Birman, M. Z. Solomyak, Spektralnaya teoriya samosopryazhennykh operatorov v gilbertovom prostranstve, Izd-vo Leningr. un-ta, L., 1980, 264 pp. ; M. S. Birman, M. Z. Solomjak, Spectral theory of self-adjoint operators in Hilbert space, Math. Appl. (Soviet Ser.), 5, D. Reidel Publishing Co., Dordrecht, 1987, xv+301 pp. | MR | Zbl | DOI | MR

[1] I. V. Pavlov, “On properties of spaces with martingale mixed norm with summability exponents close to one”, J. Math. Sci. (N.Y.), 271:2 (2023), 126–135 | DOI

[1] E. A. Pchelintsev, S. M. Pergamenchtchikov, R. O. Tenzin, “Non-asymptotic sequential change-point detection for Markov chains with applications in the epidemic statistical analysis”, Sequential Anal., 2023 (to appear); https://hal.science/hal-03871920

[1] N. Ratanov, “Kac–Ornstein–Uhlenbeck processes: stationary distributions and exponential functionals”, Methodol. Comput. Appl. Probab., 24:4 (2022), 2703–2721 | DOI | MR | Zbl

[2] N. E. Ratanov, “O protsessakh Katsa–Ornshteina–Ulenbeka”, v st.: “Tezisy dokladov, predstavlennykh na Sedmoi mezhdunarodnoi konferentsii po stokhasticheskim metodam. II”, Teoriya veroyatn. i ee primen., 68:1 (2023), 184 ; N. E. Ratanov, “On Kac–Ornstein–Uhlenbeck processes”, in “Abstracts of talks given at the 7th international conference on stochastic methods. II”, Theory Probab. Appl., 67:4 (2022), 116 | DOI | DOI

[3] P. Billingsli, Skhodimost veroyatnostnykh mer, Nauka, M., 1977, 351 pp. ; P. Billingsley, Convergence of probability measures, Wiley Ser. Probab. Statist. Probab. Statist., 2nd ed., John Wiley Sons, Inc., New York, 1999, x+277 pp. | MR | DOI | MR | Zbl

[1] P. Joulani, A. Raj, A. Gyorgy, C. Szepesvári, “A simpler approach to accelerated optimization: iterative averaging meets optimism”, Proceedings of the 37th international conference on machine learning, Proceedings of Machine Learning Research (PMLR), 119, 2020, 4984–4993 https://proceedings.mlr.press/v119/joulani20a.html

[1] O. E. Barndorff-Nielsen, F. E. Benth, A. E. D. Veraart, Ambit stochastics, Probab. Theory Stoch. Model., 88, Springer, Cham, 2018, xxv+402 pp. | DOI | MR | Zbl

[1] R. L. Dobrushin, “Uslovie nepreryvnosti vyborochnykh funktsii martingala”, Teoriya veroyatn. i ee primen., 3:1 (1958), 97–98 | MR | Zbl

[2] E. E. Slutskii, “Neskolko predlozhenii k teorii sluchainykh funktsii”, Tr. Sredneaziatskogo gos. un-ta. Ser. V-a, 31, Tashkent, 1939, 3–15 | MR | Zbl

[3] Dzh. L. Dub, Veroyatnostnye protsessy, IL, M., 1956, 605 pp. ; J. L. Doob, Stochastic processes, John Wiley Sons, Inc., New York; Chapman Hall, Ltd., 1953, viii+654 pp. | MR | MR | Zbl

[1] L. Bassham, A. Rukhin, J. Soto, J. Nechvatal, M. Smid, E. Barker, S. Leigh, M. Levenson, M. Vangel, D. Banks, A. Heckert, J. Dray, S. Vo, A statistical test suite for random and pseudorandom number generators for cryptographic applications, NIST Spec. Publ. 800-22 Rev. 1a, 2010, 131 pp. https://www.nist.gov/publications/statistical-test-suite-random-and-pseudorandom-number-generators-cryptographic

[1] M. M. Shumafov, “O postroenii funktsii Lyapunova dlya nekotorykh nelineinykh stokhasticheskikh differentsialnykh uravnenii vtorogo poryadka i voprosy ustoichivosti”, Differents. uravneniya, 17:6 (1981), 1143–1145 | MR | Zbl

[2] M. M. Shumafov, “O stokhasticheskoi ustoichivosti nekotorykh dvumernykh dinamicheskikh sistem”, Differents. uravneniya, 46:6 (2010), 892–896 | MR | Zbl

[1] B. V. Gnedenko, E. A. Danielyan, B. N. Dimitrov, G. P. Klimov, V. F. Matveev, Prioritetnye sistemy obsluzhivaniya, Izd-vo Mosk. un-ta, M., 1973, 447 pp. | Zbl

[2] E. A. Danielyan, R. N. Chitchyan, “Mnogomernye predelnye teoremy dlya vremeni ozhidaniya v prioritetnykh sistemakh $M_r/G_r/1/\infty$”, Acta Cybernet., 5:3 (1981), 325–343 | MR | Zbl

[1] A. N. Borodin, I. A. Ibragimov, “Predelnye teoremy dlya funktsionalov ot sluchainykh bluzhdanii”, Tr. MIAN SSSR, 195, Nauka, SPb., 1994, 3–285 ; A. N. Borodin, I. A. Ibragimov, “Limit theorems for functionals of random walks”, Proc. Steklov Inst. Math., 195 (1995), 1–259 | MR | Zbl

[1] V. N. Sobolev, A. E. Kondratenko, “Obobschenie odnogo razlozheniya V. V. Senatova v TsPT”, V st. “Tezisy dokladov, predstavlennykh na Sedmoi mezhdunarodnoi konferentsii po stokhasticheskim metodam. II”, Teoriya veroyatn. i ee primen., 68:1 (2023), 189 | DOI

[2] V. V. Senatov, “O realnoi tochnosti approksimatsii v tsentralnoi predelnoi teoreme. II”, Matem. tr., 19:2 (2016), 170–199 ; V. V. Senatov, “On the real accuracy of approximation in the central limit theorem. II”, Siberian Adv. Math., 27:2 (2017), 133–152 | DOI | MR | Zbl | DOI

[3] I. Shevtsova, “On the accuracy of the approximation of the complex exponent by the first terms of its Taylor expansion with applications”, J. Math. Anal. Appl., 418:1 (2014), 185–210 | DOI | MR | Zbl

[1] F. S. Nasyrov, Lokalnye vremena, simmetrichnye integraly i stokhasticheskii analiz, Fizmatlit, M., 2011, 212 pp.

[2] O. Vallée, M. Soares, Airy functions and applications to physics, Imperial College Press, London; World Sci. Publ., Hackensack, NJ, 2004, x+194 pp. | DOI | MR | Zbl

[3] D. A. Suchkova, F. S. Nasyrov, “Ob uravnenii Kortevega–de Friza s shumom v dispersii i nelineinom chlene”, V st. “Tezisy dokladov, predstavlennykh na Sedmoi mezhdunarodnoi konferentsii po stokhasticheskim metodam. II”, Teoriya veroyatn. i ee primen., 68:1 (2023), 190–191 | DOI

[1] A. N. Kolmogorov, “Ob empiricheskom opredelenii zakona raspredeleniya”, Teoriya veroyatnostei i matematicheskaya statistika, Izbrannye trudy, Nauka, M., 1986, 134–141 ; A. Kolmogoroff, “Sulla determinazione empirica di una legge di distribuzione”, Giorn. Ist. Ital. Attuari, 4 (1933), 83–91 | MR | Zbl | Zbl

[2] M. S. Tikhov, “Statistical estimation based on interval censored data”, Parametric and semiparametric models with applications to reliability, survival analysis, and quality of life, Stat. Ind. Technol., Birkhäuser Boston, Inc., Boston, MA, 2004, 211–218 | DOI | MR

[3] H. Okumura, K. Naito, “Non-parametric kernel regression for multinomial data”, J. Multivariate Anal., 97:9 (2006), 2009–2022 | DOI | MR | Zbl

[1] A. R. Simonyan, R. A. Simonyan, “Modern trends in the study of single-channel parametric models of queuing”, Model. Artif. Intell., 4:4 (2014), 184–188

[2] E. I. Ulitina, “Mnogomernye predelnye teoremy v modeli Prabkhu pri fiksirovannom parametre i kriticheskoi zagruzke”, Obozrenie prikladnoi i promyshlennoi matematiki, 18:3 (2011), 388–394

[1] Y. Fujikoshi, V. V. Ulyanov, Non-asymptotic analysis of approximations for multivariate statistics, SpringerBriefs Stat., Springer, Singapore, 2020, ix+130 pp. | DOI | MR | Zbl

[2] Kh. Vakaki, V. V. Ulyanov, “Razlozhenie Laplasa dlya statistiki Bartletta–Nanda–Pillaya i otsenka oshibki priblizheniya”, Teoriya veroyatn. i ee primen., 68:4 (2023), 705–718 | DOI | DOI

[1] F. R. Gantmakher, Teoriya matrits, 5-e izd., Fizmatlit, M., 2004, 560 pp. ; F. R. Gantmacher, The theory of matrices, v. 1, 2, Reprint of the 1959 ed., Chelsea Publishing Co., New York, 1998, x+374 pp., ix+276 pp. | MR | Zbl | MR | Zbl

[2] A. Yu. Veretennikov, M. A. Veretennikova, “Ob uluchshennykh otsenkakh i usloviyakh skhodimosti dlya tsepei Markova”, Izv. RAN. Ser. matem., 86:1 (2022), 98–133 | DOI | MR | Zbl

[1] A. N. Timashev, “Sluchainye otobrazheniya s ob'emami komponent iz zadannogo mnozhestva”, Teoriya veroyatn. i ee primen., 64:3 (2019), 599–609 | DOI | MR | Zbl

[2] E. Manstavic̆ius, “On total variation approximations for random assemblies”, 23rd international meeting on probabilistic, combinatorial, and asymptotic methods for the analysis of algorithms (AofA{'}12) (Montreal, 2012), Discrete Math. Theor. Comput. Sci. Proc., AQ, Assoc. Discrete Math. Theor. Comput. Sci., Nancy, 2012, 97–108 | MR | Zbl

[1] A. Kolmogoroff, I. Petrovsky, N. Piscounoff, “Étude de l'équation de la diffusion avec croissance de la quantite de matière et son application à un problème biologique”, Bull. Univ. État Moscou, Sér. Int., Sect. A: Math. et Mécan., 1:6 (1937), 1–25 | Zbl

[2] N. V. Smorodina, E. B. Yarovaya, “Martingalnyi metod issledovaniya vetvyaschikhsya sluchainykh bluzhdanii”, UMN, 77:5(467) (2022), 193–194 | DOI | MR | Zbl

[1] V. G. Zadorozhnii, Metody variatsionnogo analiza, RKhD, M.–Izhevsk, 2006, 316 pp.

[1] A. Kolmogoroff, Grundbegriffe der Wahrscheinlichkeitsrechnung, Ergeb. Math. Grenzgeb., 2, no. 3, J. Springer, Berlin, 1933, iv+62 pp. | MR | MR | Zbl | Zbl

[2] G. Edgar, Measure, topology, and fractal geometry, Undergrad. Texts Math., 2nd. ed., Springer, New York, 2008, xvi+268 pp. | DOI | MR | Zbl