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- Russian Academy of SciencesRU55 papers
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5 papers · 1 filter
Option pricing in time-changed Lévy models with compound Poisson jumps
Roman V. Ivanov, Katsunori Ano
The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock…
On exponential convergence rate of distribution for some non-regenerative reliability system
Galina Zverkina
The exponential upper bounds for the convergence rate of the distribution of restorable element with partially energized standby redundancy are founded, in the case when all workin…
The equation of optimal filtering, Kalman's filter and Theorem on normal correlation
L. A. Markovich
An important objective of the classical processing of stationary random sequences under nonparametric uncertainty is the problem of filtering in case when the distribution of the u…
Data-driven bandwidth choice for gamma kernel estimates of density derivatives on the positive semi-axis
A. V. Dobrovidov, L. A Markovich
In some applications it is necessary to estimate derivatives of probability densities defined on the positive semi-axis. The quality of nonparametric estimates of the probability d…
Nonparametric gamma kernel estimators of density derivatives on positive semiaxis
A. V. Dobrovidov, L. A Markovich
We consider nonparametric estimation of the derivative of a probability density function with the bounded support on . Estimates are looked up in the class of estimates…