Случайные процессы: учебник и практикум для прикладного бакалавриата
The textbook has passed practical tests and written on the basis of the readable authors for many years. Presented in textbook materials give students orientation in the solution of many practical problems in a number of areas, constitute the initial level to obtain a broader and deeper education in the field of probability theory. The book provides an overview of the theory of stochastic processes, detailed material on the theory of Markov processes with discrete time (Markov chains) and continuous-time. In addition to the solved problems for each Chapter of the textbook suggested problems to solve and theoretical questions to test the quality of the learning material.
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
This book presents a systematic exposition of the modern theory of Gaussian measures. The basic properties of finite and infinite dimensional Gaussian distributions, including their linear and nonlinear transformations, are discussed. The book is intended for graduate students and researchers in probability theory, mathematical statistics, functional analysis, and mathematical physics. It contains a lot of examples and exercises. The bibliography contains 844 items; the detailed bibliographical comments and subject index are included.
The aim of this work is to analyze a circle of questions related to the notion of recurrence in general general Markov chains. Being well known in two very different subfields of random systems: lattice random walks and ergodic theory of continuous selfmaps, the recurrence property is next to being neglected in general theory of Markov chains (perhaps except for a few notable exceptions which we will discuss in detail).
We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed in the paper is a structural changes on the Russian stock market after the financial crisis of 2008.We propose a hidden Markov chains model to analyse a structural changes and apply it for the Russian stock market.
The celebrated Nagel–Schreckenberg model allows to study a reasonably large class of one-dimensional traffic flow models with parallel updates. Unfortunately further generalizations of this construction turn out to be not especially fruitful. Namely, numerical simulations of such generalizations did not demonstrate stable behavior qualitatively different from the original model, and more to the point their mathematical treatment is still not available even up to nowadays. I'll discuss several features of these models which partially explain the failure of both numerical and mathematical attempts to study generalizations of the Nagel–Schreckenberg model.
A model for organizing cargo transportation between two node stations connected by a railway line which contains a certain number of intermediate stations is considered. The movement of cargo is in one direction. Such a situation may occur, for example, if one of the node stations is located in a region which produce raw material for manufacturing industry located in another region, and there is another node station. The organization of freight traﬃc is performed by means of a number of technologies. These technologies determine the rules for taking on cargo at the initial node station, the rules of interaction between neighboring stations, as well as the rule of distribution of cargo to the ﬁnal node stations. The process of cargo transportation is followed by the set rule of control. For such a model, one must determine possible modes of cargo transportation and describe their properties. This model is described by a ﬁnite-dimensional system of diﬀerential equations with nonlocal linear restrictions. The class of the solution satisfying nonlocal linear restrictions is extremely narrow. It results in the need for the “correct” extension of solutions of a system of diﬀerential equations to a class of quasi-solutions having the distinctive feature of gaps in a countable number of points. It was possible numerically using the Runge–Kutta method of the fourth order to build these quasi-solutions and determine their rate of growth. Let us note that in the technical plan the main complexity consisted in obtaining quasi-solutions satisfying the nonlocal linear restrictions. Furthermore, we investigated the dependence of quasi-solutions and, in particular, sizes of gaps (jumps) of solutions on a number of parameters of the model characterizing a rule of control, technologies for transportation of cargo and intensity of giving of cargo on a node station.
Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.