Search for dissertations about: "fractional Brownian motion"
Showing result 1 - 5 of 9 swedish dissertations containing the words fractional Brownian motion.
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1. Topics on fractional Brownian motion and regular variation for stochastic processes
Abstract : The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. READ MORE
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2. Ruin probabilities and first passage times for self-similar processes
Abstract : This thesis investigates ruin probabilities and first passage times for self-similar processes. We propose self-similar processes as a risk model with claims appearing in good and bad periods. Then, in particular, we get the fractional Brownian motion with drift as a limit risk process. READ MORE
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3. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited
Abstract : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. READ MORE
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4. A Non-Gaussian Limit Process with Long-Range Dependence
Abstract : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. READ MORE
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5. Infrastructure investment planning under uncertainty
Abstract : This dissertation is concerned with the planning processes in transportation and infrastructure investments and the aim is to improve risk assessment, risk valuation and risk management. Many of the results presented in this thesis are also applicable to a wider range of questions... READ MORE