Theory of Stochastic Processes, 2008, № 2

ЗМІСТ

Aryasova O.V., Portenko M.I.
A uniqueness theorem for the martingale problem describing a diffusion in media with membranes

Es-Sebaiy K., Tudor C.A.
Levy processes and ito–Skorokhod integrals

Frolov A.N.
On asymptotic behaviour of probabilities of small deviations for compound Cox processes

Gawarecki L., Mandrekar V., Rajeev B.
Linear stochastic differential equations in the dual of a multi-Hilbertian space

Kharazishvili A.B.
On a bad descriptive structure of Minkowski’s sum of certain small sets in a topological vector space

Komatsu T.
On the martingale problem for pseudo-differential operators of variable order

Kononchuk P.
Pasting of two diffusion processes on a line with nonlocal boundary conditions

Kopytko B.I., Novosyadlo A.F.
The Brownian motion process with generalized diffusion matrix and drift vector

Krylov N.
A brief overview of the L_P-theory of SPDEs

Kulik A.M.
A limit theorem for the number of sign changes for a sequence of one-dimensional diffusions

Makhno S.Ya., Yerisova I.A.
Limit theorems for backward stochastic equations

Nilgun M., Agayeva Ch.A.
Necessary condition for some singular stochastic control systems with variable delay

Roynette B., Vallois P., Yor M.
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding

Sole J.L., Utzet F.
A family of martingales generated by a process with independent increments

Tsapovska Z.Ya.
Nonhomogeneous diffusion processes in a halfspace whose behaviour on the boundary is described by general Wentzel boundary condition