Search for dissertations about: "fractional Ornstein-Uhlenbeck process"
Found 3 swedish dissertations containing the words fractional Ornstein-Uhlenbeck process.
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1. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications
Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE
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2. 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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3. 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