The goal of the 2019 conference on Stochastic Processes and Algebraic Structures held in SPAS2019, Västerås, Sweden, from September 30th to October 2nd 2019, was to showcase the frontiers of research in several important areas of mathematics, mathematical statistics, and its applications. The conference was organized around the following topics 1. Stochastic processes and modern statistical methods,2. Engineering mathematics,3. Algebraic structures and their applications. The conference brought together a select group of scientists, researchers, and practitioners from the industry who are actively contributing to the theory and applications of stochastic, and algebraic structures, methods, and models. The conference provided early stage researchers with the opportunity to learn from leaders in the field, to present their research, as well as to establish valuable research contacts in order to initiate collaborations in Sweden and abroad. New methods for pricing sophisticated financial derivatives, limit theorems for stochastic processes, advanced methods for statistical analysis of financial data, and modern computational methods in various areas of applied science can be found in this book. The principal reason for the growing interest in these questions comes from the fact that we are living in an extremely rapidly changing and challenging environment. This requires the quick introduction of new methods, coming from different areas of applied science. Advanced concepts in the book are illustrated in simple form with the help of tables and figures. Most of the papers are self-contained, and thus ideally suitable for self-study. Solutions to sophisticated problems located at the intersection of various theoretical and applied areas of the natural sciences are presented in these proceedings.
Part I. Stochastic Processes.
Chapter
1. Albuhayri, M., Engström, C.,
Malyarenko, A., Ni, Y., Silvestrov, S.: An improved asymptotics of implied
volatility in the Gatheral model.
Chapter
2. Jamsher Ali, M., Pärna, K.:
Ruin probability for merged risk processes with correlated arrivals.
Chapter
3. Nwe Aye, T., Carlsson, L.: Method Development for Emergent Properties in
Stage-Structured Population Models with Stochastic Resource Growth.
Chapter
4. Golomoziy, V.: Computable bounds of exponential moments of simultaneous
hitting time for two time-inhomogeneous atomic Markov chains.
Chapter
5.
Jin, L., Dimitrov, M, Nim Y.: Valuation and Optimal Strategies for American
Options under a Markovian Regime-Switching Model.
Chapter
6. Khusanbaev,
Ya.M., Kudratov, Kh.E.: Inequalities for moments of branching processes in a
varying environment.
Chapter
7. Kitouni, A., Messaci, F.: A law of the
iterated logarithm for the empirical process based upon twice censored data.-
Chapter
8. Kolias, P., Papadopoulou, A.: Investigating some attributes of
periodicity in DNA sequences via semi-Markov modelling.
Chapter
9.
Krasnitskiy, S., Kurchenko, S., Syniavska, O.: Limit Theorems of Baxter Type
for Generalized Random Gaussian Processes with Independent Values.
Chapter
10. Lebedev, E., Ponomarov, V., Livinska, H.: On Explicit Formulas of
Steady-State Probabilities for the M/M/c/c+m]-Type Retrial Queue.
Chapter
11. Malyarenko, A., Nohrouzian, H.: Testing Cubature Formulae on Wiener
Space vs Explicit Pricing Formulae.
Chapter
12. Mishura, Y., Shevchenko,
G., Shklyar, S.: Gaussian processes with Volterra kernels.
Chapter
13. Di
Nunno, G., Mishura, Y., Ralchenko, K.: Stochastic differential equations
driven by additive Volterra--Lévy and Volterra-Gaussian noises.
Chapter
14.
Amechi Okeke, G., Abbas, M., Silvestrov, S.: Bochner integrability of the
random fixed point of a generalized random operator and almost sure stability
of some faster random iterative processes.
Chapter
15. Cruz Rambaud, S.: An
Approach to the Absence of Price Bubbles through State-Price Deflators.-
Chapter
16. da Silva, J.L., Drumond, C., Streit, L.: Form Factors for Stars
Generalized Grey Brownian Motion.
Chapter
17. Silvestrov, D.: Flows of Rare
Events for Regularly Perturbed Semi-Markov Processes. Part II. Statistical
Methods.
Chapter
18. DAmico, G., Di Basilio, B., Petroni, F., Gismondi, F.:
An econometric analysis of drawdown based measures.
Chapter
19. Anisimov,
V., Austin, M.: Forecasting and optimizing patient enrolment in clinical
trials under various restrictions.
Chapter
20. Anguzu, C., Engström, C.,
Kasumba, H., Magero Mango, J.: Algorithms for Recalculating Alpha and
Eigenvector Centrality Measures using Graph Partitioning Techniques.
Chapter
21. Kozachenko, Y., Rozora, I.: On statistical properties of the estimator of
impulse response function.
Chapter
22. Keikara Muhumuza, A., Malyarenko,
A., Silvestrov, S., Mango Magero, J., Kakuba, G.: Connections between the
extreme points for Vandermonde determinants and minimizing risk measure in
financial mathematics.
Chapter
23. Keikara Muhumuza, A., Malyarenko, A.,
Lundengard, K., Silvestrov, S., Mango Magero, J., Kakuba, G.: Extreme points
of the Vandermonde Determinant and Wishart Ensemble on Symmetric Cones.-
Chapter
24. Shchestyuk, N., Tyshenko, S.: Option Pricing and Stochastic
Optimization.- Part III. Engineering Mathematics.
Chapter
25. Abela, M.S.,
Sunil Sharanappa, D.: MHD non-Darcy convective flow and heat transfer over a
heated vertical plate embedded in a saturated porous medium in presence of
viscous dissipation.
Chapter
26. Arjmand, D.: Numerical upscaling via the
wave equation with perfectly matched layers.
Chapter
27. Canpwonyi, S.,
Carlsson, L.: On the Approximation of Physiologically Structured Population
Model with a Three Stage-Structured Population Model in a Grazing System.-
Chapter
28. Chandarki, I.M., Singh, B.B.: Homotopy Analysis Method (HAM) for
Differential Equations pertaining to the Mixed Convection Boundary-Layer Flow
over a Vertical Surface Embedded in a Porous Medium.
Chapter
29. Metri,
P.G., Abel, M.S., Sunil Sharanappa, D.: Magnetohydrodynamic Casson nanofluid
flow over a Nonlinear Stretching Sheet with Velocity Slip and Convective
Boundary Conditions.
Chapter
30. Nankinga, L., Carlsson, L.: A Mathematical
Model for Harvesting in a Stage-Structured Cannibalistic System.
Chapter
31.
Tawade, J., Metri, P.G.: Mathematical and Computational Analysis of MHD
Viscoelastic Fluid Flow and Heat Transfer over Stretching Surface Embedded in
a Saturated Porous Medium.
Chapter
32. Tawade, J., Metri, P.G.: Numerical
solution of boundary layer flow problem of a Maxwell fluid past a porous
stretching surface.
Chapter
33. Umavathi, J.C., Metri, P.G., Silvestrov, S.:
Effect of electromagnetic field on mixed convection of two immiscible
conducting fluids in a vertical channel.
Chapter
34. Urekar, M.,Djordjevi
Kozarov, J.: Stochastic Smart Grid Meter for Industry 4.0 - From an Idea to
the Practical Prototype.
Chapter
35. Vukovi, A., Vukovi, D., Peri, M.,
Raievi, N.: Magnetic force calculation between truncated cone shaped
permanent magnet and soft magnetic cylinder using hybrid boundary element
method.
Chapter
36. Vujii, V., Djordjevi Kozarov, J., Sovilj, P.,
Vujii, B.: Mathematical basis of the stochastic digital measurement
method.
Chapter
37. Ögren, M.: Stochastic solutions of Stefan problems.
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