Search for dissertations about: "semi-Markov processes"

Found 5 swedish dissertations containing the words semi-Markov processes.

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. Weak Convergence of First-Rare-Event Times for Semi-Markov Processes

   Author : Myroslav Drozdenko; Dmitrii Silvestrov; Raimondo Manca; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; weak convergence; first-rare-event times; semi-Markov processes; Mathematical statistics; Matematisk statistik; Matematik tillämpad matematik;

   Abstract : I denna avhandling studerar vi nödvändiga och tillräckliga villkor för svag konvergens av första-sällan-händelsetider för semi-Markovska processer.I introduktionen ger vi nödvändiga grundläggande definitioner och beskrivningar av modeller som betraktas i avhandlingen, samt ger några exempel på situationer i vilka metoder av första-sällan-händelsetider kan vara lämpliga att använda. 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. Perturbed discrete time stochastic models

   Author : Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Nikolaos Limnios; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Risk process; Semi-Markov process; Markov chain; Quasi-stationary distribution; Ruin probability; First hitting time; Solidarity property; Mathematical Statistics; matematisk statistik;

   Abstract : In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. READ MORE

7. 5. Markov Decision Problems in ATM Traffic Control

   Author : Ernst Nordström; Lars Asplund; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Computer Systems; Datorteknik;

   Abstract : This thesis discusses how to make cost-effective use of the communication resources in the Broadband Integrated Services Digital Network (B-ISDN), which is based on the Asynchronous Transfer Mode (ATM) switching and multiplexing technique.The thesis deals with two important functions in ATM traffic control, namely Call Admission Control (CAC) and routing, which affects both the network operator's revenue over time and the users' Quality of Service (QOS) and Grade of Service (GOS). READ MORE