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  • Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.
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Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.

M. : RUDN, 2020.
Under the general editorship: D. V. Kozyrev

The materials of the 5th International conference on stochastic methods are presented including the following directions: probability and statistics (analytic modelling, asymptotic methods and limit theorems, stochastic analysis, Markov processes and martingales, actuarial and financial mathematics, et al.); applications of stochastic methods (queueing theory and stochastic networks, reliability theory and risk analysis, probability in indistry, economics and other areas, computer science and computer networks, machine learning and data analysis, etc.).

Chapters
On positive recurrence of 1D diffusions with switching
Veretennikov A., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 242–252.
Positive recurrence of one-dimensional diffusion with switching with an additive Wiener process and with one recurrent and one transient regime is established under suitable conditions on the drift in both regimes and on the intensities of switching. ...
Added: January 27, 2021
On the notion of Markov–up processes
Veretennikov A., Veretennikova M., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 219–223.
A new notion of ``Markov up'' processes is discussed. A toy model of this notion is proposed and discussed; recurrence and ergodic properties are studied. ...
Added: January 27, 2021
A multivariate central limit theorem for weighted sums
Ayvazyan S. A., Ulyanov V. V., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 21–23.
We consider the typical behavior of the weighted sums of independent identically distributed random vectors in k-dimensional space. It is shown that in this case the rate of convergence in the multivariate central limit theorem is of order O(1/n) up to logarithmic factor. This extends the one-dimensional Klartag and Sodin result. ...
Added: March 23, 2021
Short Expansions for High-Dimension Low-Sample-Size Data Statistics in Random Setting
Ulyanov V. V., Christoph G., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 214–218.
We consider high-dimension low-sample-size data taken from the standard multivariate normal distribution under assumption that dimension is a random variable. The second order Chebyshev–Edgeworth expansions for distributions of an angle between two sample observations and corresponding sample correlation coefficient are constructed with error bounds. Depending on the type of normalization, we get three different limit ...
Added: March 23, 2021
Two-sided bounds for PDF's maximum of a sum of weighted chi-square variables
Bobkov S., Naumov A., Ulyanov V. V., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 39–42.
Two--sided bounds are constructed for a probability density function of a weighted sum of chi- square variables. Both cases of central and non-central chi-square variables are considered. The upper and lower bounds have the same dependence on the parameters of the sum and differ only in absolute constants. The estimates obtained will be useful, in ...
Added: March 23, 2021
Locally integrable increasing processes with continuous compensators
Borzykh D., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 43–47.
We prove that a joint distribution of a locally integrable increasing process X◦ and its compensator A◦ at a terminal moment of time can be realized as a joint terminal distribution of another locally integrable increasing process X* and its compensator A*, A* being continuous. ...
Added: April 10, 2021
A note on convergence of nonlinear Markov chains
Shchegolev A., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 191–196.
Added: October 30, 2021
The tuning problem with discrete time and some applications
Peter Shnurkov, Daniil Novikov, , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 373–377.
The article discusses the development of a new stochastic model with control. We provide the theoretical background and show the importance and the applicability of this mathematical model. We present the general structure of a new stochastic model, that is based on the idea of a controlled external impact, produced once the process reaches some specified set of ...
Added: February 2, 2023
Research target: Mathematics
Priority areas: mathematics
Language: English
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Keywords: mathematical statistics probabilitystochastic method applications
Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.
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