On Itô-Kurzweil-Henstock integral and integration-by-part formula
In this paper we derive the Integration-by-Parts Formula using the generalized Riemann approach to stochastic integrals, which is called the Itô-Kurzweil-Henstock integral.
On Ito-Nisio type theorems for DS-groups.
On Ito's formula of Föllmer and Protter
On joint distributions of observables
On jump processes with drift [Book]
On Kakutani's Dichotomy Theorem for Infinitive Products of not Necessarily Independent Functions.
On Kingman's integral inequalities for approximations of the waiting time distribution in the queuing model GI/G/1 with and without warming-up time
On Klotz's result on the asymptotic efficiency for the signed rank tests
On lattice path counting by major and descents.
On least square estimation of second order stochastic processes with discrete time
On least squares estimation in continuous time linear stochastic systems
On Lévy processes conditioned to stay positive.
On Lévy's Brownian motion indexed by elements of compact groups
We investigate positive definiteness of the Brownian kernel K(x,y) = 1/2(d(x,x₀) + d(y,x₀) - d(x,y)) on a compact group G and in particular for G = SO(n).
On Lévy's downcrossing theorem and various extensions
On limit distribution of the Matsumoto zeta-function
On limit distribution of the Riemann zeta-function
On limit distribution theorems for sums of a random number of random variables appearing in the study of rarefaction of a recurrent process
On limit properties of the reward from a Markov replacement process
On limiting towards the boundaries of exponential families
This work studies the standard exponential families of probability measures on Euclidean spaces that have finite supports. In such a family parameterized by means, the mean is supposed to move along a segment inside the convex support towards an endpoint on the boundary of the support. Limit behavior of several quantities related to the exponential family is described explicitly. In particular, the variance functions and information divergences are studied around the boundary.
On linear inversion of moving averages, discrete equalizers and "whitening" filters, and the related difference equations and infinite systems of linear equations