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9 papers · 2 filters
Krylov-Veretennikov formula for functionals from the stopped Wiener process
G. V. Riabov
We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process . Multiple stochastic integrals, that lead to…
On a Brownian motion with a hard membrane
Vidyadhar Mandrekar, Andrey Pilipenko
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its l…
Weak approximation rates for integral functionals of Markov processes
Iurii Ganychenko, Alexei Kulik
We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition pr…
On a limit behavior of a sequence of Markov processes perturbed in a neighborhood of a singular point
Andrey Pilipenko, Yuriy Prykhodko
We study a limit behavior of a sequence of Markov processes (or Markov chains) such that their distributions outside of any neighborhood of a "singular" point attract to some proba…
Accuracy of discrete approximation for integral functionals of Markov processes
I. Ganychenko, V. Knopova, A. Kulik
The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transit…
Gaussian approximation of moments of sums of independent random variables
Marcin Lis
We continue the research of Latała on improving estimates of -th moments of sums of independent random variables. We generalize some of his results in the case when $2 \leq p \l…