XXIV International Seminar on Stability Problems for Stochastic Models

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XXIV International Seminar on Stability Problems for Stochastic Models

Jurmala, Latvia, September 10
-
17, 2004



PRELIMINARY PROGRAMME



Programme was formed on base of abstracts and papers, that have been accepted by

the Internati
onal Programme and Organising Committee till 15 of May, 2004. Below
the italic font style of contribution title means abstract
, but normal font means paper.
Among authors the speaker is marked with bold font style.


Plenary Meetings


Erol Gelenbe
[
e.gelenbe@imperial.ac.uk
] (England). On stability problems for G
-
network


A. Limit Theorems of Probability Theory


A01.
Vladimir Zolotarev

[
zolot@orc.ru
] (Russia). Functional ty
pe limit theorem of
probability theory


A02.
Aldona Aleskeviciene
[
Stat@ktl.mii.lt
],


Vitautas

Statulevicius


(
Lithuania
). O
n
compound Poisson approximation for sums of independent random variables


A03.
Ryszard Jajt
e

[
rjajte@math.uni.lodz.pl
]

(
Poland
). P
ointwise ergodic theorem
for contractions in L
p
(h)
-
spaces


A04. Viktor Korolev [
vkorolev@comtv.ru
]
,
Irina Shevtsova
[
irina_shevtsova@mail.ru
] (Russia). Convergence rate estimates in local limit
theorems for the densities of sums of independent random variables


A05.
Katarzyna

Lubnauer
[
lubnauer@math.uni.lodz.pl
]
,
Andrzej Luczak
[
anluczak@math.uni.lodz.pl
]
(Poland).

Domain of attraction of Gaussian probability
operators in quantum limit theory



A06.
Przemysław

Matuła
[
matula@golem.umcs.lublin.pl
] (Poland).
On some
inequalities for certain classes of positively dependent random variables



A07.
Alexander Nagaev
[
nagaev@mat.uni.torun.pl
],

Oleks
andr Zaihraiev

[
alzaig@mat.uni.torun.pl
]

(Poland).
N
ew

large deviations local theorems for sums of
i.i.d. random vectors when the limit
distribution is α
-
stable


A08.
Teresa

Rajba

[
trajba@ath.bielsko.pl
]

(Poland).

O
n superinvariant measures on
the real line


A09.
Zdzislaw

Rychlik
[
rychlik@gole
m.umcs.lublin.pl
]
,
Konrad

Szuster

[
kszuster@golem.umcs.lublin.pl
]

(Poland).
On the central limit theorem with almost
sure convergence


2


A10.
Alexey

Shashkin

[
shashkin@mech.math.msu.su
]

(Russia).
A weak dependence
property of a spin system


A11.
Wladyslaw

Wilczynski
[
wwil@krysia.uni.lodz.pl
]

(
Poland
).
Stochastic
convergence and points of density


A12.
Oleksan
dr

Zaihraiev

[
alzaig@mat.uni.torun.pl
]

(Poland).
On asymptotic
properties of multi
-
dimensional
α
-
stable densities


B. Limit Theorems for Stochastic Processes


B01.
Bronius

Grigelionis

[
mathematica@ktl.mii.lt
] (Lithuania). Extreme value
theory using power normalization


B02.
Nickolai Arkashov
[
Nickolaich@ngs.ru
],

Igor S. Borisov
[
sib
am@math.nsc.ru
]

(Russia).
Gaussian approximation of partial sum processes of
moving averages



B03.
Miguel

Gonzalez
[
mvelasco@unex.es
],

Manuel Molina
[
mmolina@unex.es
],

Ines M
. del Puerto

[
idelpuerto@unex.es
]

(Spain).
Branching Processes under
random control: Some asymptotic properties


B
04.
Miguel Gonzalez
[
mvelasco@unex.es
],

Rodrigo Martınez
[
rmartinez@unex.es
]
,

Manuel Mota


[
mota@unex.es
]

(Spain).
Controlled multi
-
type
branching processes with random control: the limiting behaviour


B05.
Mamathon Holmuradov

[
m.k.holmurodov@rambler.ru
]

(
Uzbekistan
).
Limit
theorems for record times


B06.
Manuel

Molina
[
mmolina@unex.es
],

Manuel Mota
[
mota@unex.es
], Alfonso
Ramos
[
aramos@unex.es
]

(Spain).
A note on the asymptotic behaviour of a bisexual
branching process with population

size dependent mating



B07.

José A. Moler [
jmoler@
unavarra.es
], Fernando Plo [
fplo@unizar.es
], Miguel
San Miguel [
msm@unizar.es
] (Spain).
Central limit theorems for recursive random
trees




B08.
Edward

Omey
[
edward.omey@ehsal.be
] (
Belgium),

Fermın Mallor
[
mallor@unavarra.es
],

Javier

Santos

[
javier.santos@unavarra.es
] (
Spain
).
Asymptotic
results
for multivariate weighted renewal functions



B09. E.
Orsingher

(Italy),
S. Leorato, Ya. Satin, G. Shilova,
Alexander Zeifman
[
zai@uni
-
vologda.ac.ru
]

(Russia).
On some limits for non
-
homogeneous birth and
death

processes


B10.
Oleg

Rusakov
[
Oleg.Rusakov@pobox.spbu.ru
]
,
Chuprunov Alexei
[
achuprunov@mail.ru
] (Russia).
Limit theorems for random fields connected with
replac
ements of random variables




3

B11.
Charles

Suquet
[
Charles.Suquet@univ
-
lille1.fr
]

(France)
.

Weak Hölder
convergence of partial sums processes and applications


B12.
Gurami

Tsitsiashvili

[
guram@iam.dvo.ru
]

(Russia).
Anomalous diffusion on
finite interval


B13.
Marie
-
Claude

Viano
[
Marie
-
Claude.Viano@univ
-
lille1.fr
],

Anne
Philippe
[
Anne.Philippe@univ
-
lille1.fr
] (France),

Donatas Surgailis

[
sdonatas@ktl.mii.lt
]
(
Lithuania
).
Time
-
varying fractionally integrated processes with
non
-
stationary long memory


C.
Theory of Prob
ability Metrics


C01
.
Olga Yanushkevichiene

[
olgjan@takas.lt
]

(
Lithuania
).
Convergence of second
degree polynomials in several metrics


C02.
Romanas

Yanushkevichius

[
romjan@takas
.lt
]

(
Lithuania
).
Characterization of
populations by properties of linear statistics


C03.
Matysiak

Wojciech
[
matysiak@mini.pw.edu.pl
]
,
Paweł J. Szabłowski

[
pszablowski@elka.pw.edu.pl
]

(Poland).
On orthogonal polynomials of conditional
distributions of Bryc’s random fields


C04.
Agnieszka

Plucinska

[
amp@alpha.mini.pw.edu.pl
]

(Poland). C
haracterization
of conditi
onally Gaussian processes


C05.
Vladimir Volkovich

[
zeev@actcom.co.il
]

(Israel).
On the Levy
-
Khintchine
formulas from the generalized functions point of view


D. Queueing Theory


D01.

Larisa Afanasieva

[
olsh@mtuci.ru
],

E.E.

Bashtova
[
alfad@nm.ru
]

(Russia).
The queue with periodic doubly stochastic Poisson input


D02.
Velasco


F.J. Albores
[
jalbores@fcf
m.buap.mx
], Sanabria F.S Tajonar
[
ftajonar@fcfm.buap.mc
]

(Mexico). The multi
-
server GI/MSP/c/r queue


D03.
Ivan

Atencia
[
iatencia@ctima.uma.es
]
,
Inmaculada Fortes,
Pilar Moreno, Sixto

Sánchez

(Spain).
A retrial queue with priority customers, several input flows and
classical retrial policy


D04.
Pavel

Bocharov

[
pbocharov@sci.pfu.edu.ru
]
,
E.V. Viskova

(Russia). T
he
DMA
P/DMSP/1/r queueing system in discrete time


D05. Vasily

Chaplygin
[
VChaplygin@ipiran.ru
],

Alexandre Pechinkin
[
Apechinkin@ipiran.ru
]

(Russia).
The mathematical method
s and the algorithms for a
multichannel queues calculation


D06.
Alexander

Dudin
[
dudin@bsu.by
],

Valentina Klimenok [
klimenok
@bsu.by
]
(Belarus). Multi
-
dimensional asymptotically q
uasi
-
Toeplitz Markov chains


4


D07.
Mikhail

A.
Fedotkin
[
fma5@rambler.ru
]
,

Andrei V. Zorine
[
zoav1@uic.nnov.ru
] (Russia). Optimal control of conflict flows with repeated service



D08.
Peter Karasz

[
karasz.peter@nik.bmf.hu
]

(
Hungary
).
Equilibrium distribution
for bulk
-
arrival M/G/1 system with vacation


D09.
Valentina Klimenok
[
klimenok
@bsu.by
]

(Belarus).
Mean drift approach in
derivation of the stability condition for multi
-
dimensional Quasi
-
Toeplitz Markov
chains


D10.
Alexandre

Petchinkine
[
Apechinkin@ipiran.ru
],

Tatiana Svischeva
[
tsvistcheva@mail.ru
]

(Russia). T
he stationary state probabilities in the BMAP/G/1/r
queueing system with inverse discipline and probabilistic priority


D11.
János

Roszik [
jroszik@i
nf.unideb.hu
],

János Sztrik

[
jsztrik@inf.unideb.hu
]
(Hungary). Performance analysis of finite
-
source retrial queues with non
-
reliable
heterogenous servers


D12.
Sergei F.

Yashkov

[
yashkov@iitp.ru
], Ann S. Yashkova

(Russia).
Time

dependent distribution of attained service times for the M/G/1 foreground

background processor sharing queue


D13. M. A.

Elesin
,

A. V. Kuznetsov,
Alexander Zeifman

[
zai@uni
-
vologda.ac.ru
]
(Russia). On stability bounds for non
-
homogeneous Markov chains


E. Stochastic Networks


E01.
Irina Aminova
[
iaminova@karelia.ru
]
,
Evsei Morozov [
emorozov@karelia.ru
]
(Russia). On variance reduction in regenerative queueing simulation


E02.

Velasco F.J. Albores
[
jalbores@fcfm.buap.mx
] (Mexico),

Pavel Bocharov
[
pbocharov@sci.pfu.edu.ru
], D.Yu. Lyubin (Russia), C.D’Apice
[
dapice@diima.unisa.it
] (Italy). Ergodicity conditions for a two
-
node open network
with internal losses or blocking and negativ
e arrivals


E03. Ciro D’Apice
[
dapice@diima.unisa.it
], Rossana Manzo (Italy),
Yury S.
Khokhlov
[
Yury.Khokhlov@tversu.ru
], Oksana I. Sidorova (Russia). Approximati
on
of network traffic by pseudostable Levy motion


F. Insurance and Financial Mathematics


F01.


Larisa


Afanasieva

[
olsh@mtuci.ru
]

(Russia).
About optimal portfolio
management based on a Markovian model for multi
-
dimen
sional stock market


F02.
Ekaterina Bulinskaya

[
ebulinsk@mech.math.msu.su
]

(Russia).
Multi
-
step
investment policy of insurance company


F03. Natalya L. Ivanova [
na
tioanidi@tvcom.ru
],

Yury S. Khokhlov
[
Yury.Khokhlov@tversu.ru
] (Russia), Dimitrios G. Konstantinides

5

[
konstant@aegean.gr
] (Greece). Ruin probability in presence of c
laims with different
distributions


F04.
Victor U.

Korolev
[
vkorolev@comtv.ru
],

Sergey Shorgin
[
sshorgin@ipiran.ru
]

(Russia).
Mathematical methods and software for the analysis of non
-
homogeneous
risk processes


F05.
Victor U.
Korolev [
vkorolev@comtv.ru
],

Alexei Kudryavtsev
[
nubigena@hotmail.com
] (Russia). A criterion of the convergence of the distributions
of some generalized risk processes


G. Application of Probabi
lity Theory


G01.
Eugeny Kopytov

[
kopitovj@tsi.lv
], Leonid Gringlaz (Latvia). On a stochastic
model of inventory control on transport


G02.
Vladimir Rykov
[
rykov@rykov1.ins.
ru
], Elena Buldaeva
[
elena_buldaeva@mail.ru
] (Russia). On Reliability Control of Fault Tolerance Units:
Regenerative Approach


G03

Milena Bieniek
[
milena@ra
mzes.umcs.lublin.pl
],

Dominik Szynal
[
szynal@golem.umcs.lublin.pl
]

(Poland).

T
he moments of the k
-
th record values
from the exponential, inverse exponential and Gumbel distribution



G04.
Mariusz Bieniek

[
mbieniek@hektor.umcs.lublin.pl
], Dominik Szynal
[
szynal@golem.umcs.lublin.pl
]

(Poland).

O
n the fractional record values


G05.
E.V.Chepurin

[
CHEPURIN@mech.math.msu.su
] On visial methods of a
statistical analysis of discrete and multivariate data


G06.
Anna

Chojnowska
-
Michalik

[
anmich@math.uni.lodz.pl
]

(Pola
nd).
Ornstein
-
Uhlenbeck
-
Lévy processes in Hilbert spaces and operator
-
self
-
decomposable
distribution


G07.
Alexander Dudin [
dudin@bsu.by
] (Belarus), A. Krishnamoorthy
[
ak@cusat.ac.in
], Viswanath C. Narayanan (India). Reliability of a k
-
out
-
of
-
n system
through retrial queues


G08.
Nikolay

Kharchev
[
khar@fpl.gpi.ru
]
, N
.N. Skvortsova, G.M. Batanov, A.E.
Petrov, A.A. Pshenichnikov , K.A. Sarksyan,

Vladimir E. Bening, Victor U. Korolev
[
vkorolev@comtv.ru]
, T.V. Maravina (Russia), Joaquin Sanchez (Spain), Shin Kubo
(Japan),
Modeling of turbulent plasma processes by subordinated Wiener processes


G09.
Małgorzta Murat
[
muratm@antenor.pol.lublin.pl
], Dominik Szynal

[
szynal@golem.umcs.lublin.pl
] (Poland).
Moments of discrete distributions via a
differenti
al operator


G10.
Fermín

Mallor
[
mallor@unavarra.es
],

Pedro Mateo
[
mateo@unizar.es
],

José A.
Moler
[
jmoler@unavarra.es
]

(Spain).
A su
rvey of probability problems in the
dimensioning of bandwidth wireless telecommunication networks


6


G11.
Edward Omey

[
edward.omey@ehsal.be
]

(Belgium).
Runs and Markov chains


G12.
Oleg Shestakov
[
olsh@mtuci.ru
],

Vladimir Ushakov

[
vushakov@cs.msu.su
]
(Russia).
Approximating projections with orthogonal polynomials to reconstruct
distributions of multivariate random functions



G13.
Vladim
ir Uchaikin
[
uchaikin@sv.uven.ru
]
,
A.Y. Zakharov (Russia).

Lévy
-
flights of resonance radiation in plasma



G14.
Igor Zolotukhin
[
igor@IZ2862.spb.edu
]
,
Lidia A. Zolotukhina

(Russia).
New
class of multivariate generalized Laplace distributions


H. Asymptotic Statistics


H01. Vladimir E.
Bening
,
Victor Korolev

[
vkorolev@comtv.ru
]

(Russia).

Estimation
problems for fractional stable distributions


H02.
Norbert Henze (Germany)
,

Simos G. Meintanis
[
simosmei@econ.uoa.gr
]
(Greece). Goodness
-
of
-
fit tests for the Gamma distribution based on the empirical
Laplace transform


H03. I.K. Glad
[
glad@math.ui
o.no
],

N.L Hjort
[
nils@math.uio.no
],

Nikolay G.
Ushakov
[
ushakov@math.ntnu.no
] (Norway).
Density estimation using the sinc
kernel



H04.

I.K. Glad
[
glad@math.uio.no
],

N.L Hjort
[
nils@math.uio.no
],

Niklay G.
Ushakov
[
ushakov@math.ntnu.no
] (Norway).
Upper bounds for the mean integrated
squared error of

kernel density estimators


H05.
Tatiana Lebedeva

[
tania_leb@mail.ru
]

(Russia),

Nikolay G. Ushakov
[
ushakov@math.ntnu.no
]

(Norway).
Uniformly consistent estimator for the

characteristic function of any distribution not containing singular component


H06.
Gusztav Morvai
[
morvai@szit.bme.hu
]

(Hungary)
,

Benjamin Weiss
[
weiss@math.huji.ac.il
]

(Israel).
Some remarks on estimating the conditional
probability


H07.
Vera Pagurova
[
olsh@mtuci.ru
]

(Russia).
On asymptotic distribution of
intermediate order statistics


H08.
Jan W.H. Swanepoel

[
sttjwhs@puknet.puk.ac.za
]

(South Africa).
Two new
properties of the kernel distribution function estimator with applications


H09.
Tatiana Tsekhavaya
[
Tsekhavaya@bsu.by
],

N.N. Troush [
TroushNN@bsu.by
]
(Belarus). Asymptotic distribution of the variogram estimator of stationary stochastic
process with continuous time


H10.
Vladimir V.

Ulyanov
[
vladim195@mtu
-
net
.ru
]

(Russia).
Error bounds for
Cornish
-
Fisher type expansions


7

K. Intensive Computer Methods of Statistics


K01.
Alexander Andronov
[
lora@mailbox.riga.lv
]
, Helen Afanasyeva
[
jelena_a@tsi.lv
] (Latvia). Resampling based non
-
parametic statistical inferences
about moments and quantiles of ordered statistics


K02. Alexander Andronov [
lora@mailbox.riga.lv
],

Helen Afanasyeva

[
jelena_a@tsi.lv
]

(Latvia).
On robustness of resampling estimators for linear
regression models


K03.
Simos Meintanis
[
simosmei@econ.uoa.gr
]

(
Greece
).
Testing for the Skew
Normal
Distribution Based on the Empirical Moment Generating Function


K04.
Cornelia J. Swanepoel
[
sttcjs@puknet.puk.ac.za
]

(
South Africa
).
The bootstrap
applied to a modified Read
-
Cressie goodness
-
of
-
fit statistic
for categorical data


L. Application of Mathematical Statistics



L01.

Rakip Abusev

[
abusev@psu.ru
]

(Russia).
On computation of the risk function
in classification of multivariate student populations


L02.
Ilya B.

Gert
sbakh,
[
eliahu@cs.bgu.ac.il
] (Israel)
Why the students don't like
statistics courses?


L03.
Asaf Hajiyev

[
asaf@baku
-
az.net
]

(
Azerbaijan
).
Asymptotical methods of
estimation

in regression models with increasing number of unknown parameters


L04.
Atil Lynda
[
atil.lynda@caramail.com
]
,
Karima Nouali, Hocine Fellag (Algeria).
Stability of the Unit Root Test under Contamination


L05.

Victor Lyumkis

[
vlyumkis@yahoo.com
]

(Latvia).
Using package Mathcad for
the solving statistical problems of unbiased point estimation



L06.
Viatcheslav

Melas

[
v.melas@
pobox.spbu.ru
]

(Russia).
Efficient designs for
estimating extremizers of regression functions


L07.
Max Moldovan

[
max@esh.lv
]

(Latvia).
The variance
-
free characterisation of

heteroscedastic normal variables with an appli
cation in financial econometrics


L08. Kerwin W. Morris [
kmorris@stats.adelaide.edu.au
] (Australia),

Dominik
Szynal
[
szynal@golem.umcs.lublin.pl
]

(
Pola
nd
). Goodness

of

fit tests via
characterizations


L09.
Elvira Perekhodtseva

[
perekhodtseva@rhmc.mecom.ru
]

(Russia).
The
stochastic model for 12
-
36h forecast of strong wind in Baltic countries


L10.
Irina
Yatskiv

[
ivl@tsi.lv
]

Dimensionality reduction problem in the statistical
analysis tasks of transport development data



8

L11.
Tatyana

Zakharova
[
lsa@cs.msu.su
],

M.U.

Berezencev [
berez@mail.ru
]

(Russia).
About a method of supervision classification in the decision of aerodynamic
problem


Co
-
Chairmans of the

the International Programme and Organising Committee






Alexander
Andronov




Victor Korolev