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Träfflista för sökning "WFRF:(Yeleyko Yaroslav) "

Search: WFRF:(Yeleyko Yaroslav)

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1.
  • Yeleyko, Yaroslav, et al. (author)
  • Main mathematical characteristics of payment functional
  • 2012
  • In: Bulletin of the Lviv University, Series in Mathematics & Informatics. - Lviv, Ukraine : University of Lviv. - 2078-3744. ; :18, s. 157-164
  • Journal article (peer-reviewed)abstract
    • The aim of our work was to calculate basic mathematical characteristics of payment functional, such as mathematical expectation, variation and expected risk in discrete and continuous market models. In our paper we present a model of financial market in which the entire time interval in the continuous model is divided into steps with exponential distribution, and in the discrete model into steps of length 1. Using the appropriate ergodic theorems for continuous and discrete Markov chains we have found the mathematical expectation, variation and expected risk. The results have theoretical and practical application in verifying the accuracy of modeling prices of derivative securities in the economy and finance.
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2.
  • Yeleyko, Yaroslav, et al. (author)
  • Multifractal products of diffusion processes and randomized scenario
  • 2011
  • In: Bulletin of the Lviv University, Series in Mechanics & Mathematics. - Lviv, Ukraine : University of Lviv. - 2078-3744. ; :74, s. 83-88
  • Journal article (peer-reviewed)abstract
    • We investigate the properties of multifractal products of the exponential of stationary diffusion processes defined by stochastic differential equations with linear drift and certain form of the diffusion coefficient corresponding to a variety of marginal distribution.
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  • Result 1-2 of 2
Type of publication
journal article (2)
Type of content
peer-reviewed (2)
Author/Editor
Mazur, Stepan, 1988- (2)
Yeleyko, Yaroslav (2)
Lazariv, Taras (2)
University
Örebro University (2)
Language
English (1)
Ukranian (1)
Research subject (UKÄ/SCB)
Natural sciences (2)

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