Search for dissertations about: "semi-Markov model"

Showing result 1 - 5 of 7 swedish dissertations containing the words semi-Markov model.

2. 1. Semi-Markov Models for Insurance and Option Rewards

   Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE

4. 2. Semi Markov chain Monte Carlo

   Author : Håkan Ljung; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Adaptive simulation; error-in-the-variables; Kullback-Leibler divergence; Markov chain simulation; Markov chain Monte Carlo; semi-regenerative; MATEMATIK; MATHEMATICS; MATEMATIK; matematisk statistik; Mathematical Statistics;

   Abstract : The first paper introduces a new simulation technique, called semi Markov chain Monte Carlo, suitable for estimating the expectation of a fixed function over a distribution π, Eπf(χ). Given a Markov chain with stationary distribution p, for example a Markov chain corresponding to a Markov chain Monte Carlo algorithm, an embedded Markov renewal process is used to divide the trajectory into different parts. READ MORE

5. 3. Multiple Model Filtering and Data Association with Application to Ground Target Tracking

   Author : Daniel Svensson; Chalmers tekniska högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Multiple model filtering; semi-Markov processes; multi-target tracking; FISST; state estimation; IMM; performance evaluation; OSPA; PHD; ground target tracking; Kalman filtering; target tracking; CPHD; MHT; random finite sets;

   Abstract : This thesis is concerned with two central parts of a tracking system, namely multiple-model filtering and data association. Multiple models are introduced to provide accurate filtering, whereas data association deals with the unknown origin of the received measurements. READ MORE

6. 4. Assessment of Interruption Costs in Electric Power Systems using the Weibull-Markov Mode

   Author : Jasper van Casteren; Chalmers tekniska högskola; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; semi-Markov model; interruption cost; power system reliability; customer damage function; duration distribution; reliability worth;

   Abstract : Modern competitive electricity markets do not ask for power systems with the highest possible technical perfection, but for systems with the highest possible economic efficiency. Higher efficiency can only be reached when accurate and flexible analysis tools are used. READ MORE

7. 5. Improving DRX Performance For Emerging Use Cases In 5G

   Author : Farnaz Moradi; Nätverk och säkerhet; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

   Abstract : This thesis proposes approaches and models to increase the energy saving of the User Equipment (UE) in Long-Term Evolution (LTE) and 5G. The focus is mainly on Discontinuous Reception (DRX), the UE energy saving mechanism that was first introduced in LTE and will play an important role in 5G too.In this thesis, we take two main approaches. READ MORE