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Article
Forecasting credit portfolio components with a Markov chain model
We consider the forecasting problem for components of a bank’s credit portfolio, in particular, for the share of non-performing loans. We assume that changes in the portfolio are described by a Markov random p...
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Article
Constructing maximum likelihood estimates for statistically uncertain linear systems
We consider the parameters estimation problem for a statistically uncertain linear model, i.e., a model whose observations contain both random perturbations with known distributions and uncertain perturbations...
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Article
Investigation of a mathematical model of a signal-controlled intersection
Efficient traffic organization is one of the most urgent problems of modern society. The choice of optimal control regimes for intersecting traffic flows is a component of this problem. At present, a detailed ...
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Article
Properties of nonlinear confidence estimates for statistically uncertain systems
Consideration is given to the problem of confidence estimation for statistically uncertain systems with observation, i.e., for systems in the description of which there are both random perturbations with known...
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Article
Scientific biography of I. Ya. Kats
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Article
Optimal and suboptimal solutions to stochastically uncertain problems of quintile optimization
In this paper, problems of stochastic optimization under incomplete information on distribution of random perturbations with the quintile and probability criteria are considered. The minimax approach is used w...
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Article
Comparison of linear and nonlinear methods of confidence estimation for statistically uncertain systems
In this paper, we consider a problem of confidence sets design for the estimation problem with observations in the system that contains both random perturbations with given distributions and uncertain perturba...
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Article
Nonlinear Confidence Estimates for Statistically Uncertain Systems
Confidence sets are constructed for the phase state of a multistep nonlinear system, the description of whose dynamics contains both random perturbations with given distributions and uncertain perturbations wi...
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Article
Stochastic Systems with a Random Jump in Phase Trajectory: Stability of Their Motion
The probabilistic stability of the perturbed motion of a system with parameters under the action of a general Markov process is studied. The phase vector is assumed to experience random jumps when the structur...
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Article
Generalized Confidence Sets for a Statistically Indeterminate Random Vector
A problem is considered for the construction of confidence sets for a random vector, the information on distribution parameters of which is incomplete. To obtain exact estimates and a detailed analysis of the ...
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Article
Parameter estimation and minimization of a function with random errors and geometric constraints
