Search for dissertations about: "Hilbert"

Showing result 1 - 5 of 102 swedish dissertations containing the word Hilbert.

  2. 1. Functional Hodrick-Prescott Filter

    Author : Hiba Nassar; Astrid Hilbert; Alexander Meister; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Inverse problems; adaptive estimation; Hodrick-Prescott filter; smoothing; trend extraction; Gaussian measures on a Hilbert space.; Mathematics; Matematik;

    Abstract : The study of functional data analysis is motivated by their applications in various fields of statistical estimation and statistical inverse problems.In this thesis we propose a functional Hodrick-Prescott filter. This filter is applied to functional data which take values in an infinite dimensional separable Hilbert space. READ MORE

  4. 2. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

    Author : Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

    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

  5. 3. Nelson-type Limits for α-Stable Lévy Processes

    Author : Haidar Al-Talibi; Astrid Hilbert; Francesco Russo; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Ornstein-Uhlenbeck position process; α-stable Lévy noise; scaling limits; time change; stochastic Newton equations; Mathematical statistics; Matematisk statistik; Applied mathematics; Tillämpad matematik; Mathematics; Matematik;

    Abstract : Brownian motion has met growing interest in mathematics, physics and particularly in finance since it was introduced in the beginning of the twentieth century. Stochastic processes generalizing Brownian motion have influenced many research fields theoretically and practically. READ MORE

  6. 4. Mean Field Games for Jump Non-Linear Markov Process

    Author : Rani Basna; Astrid Hilbert; Rainer Buckdahn; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mean-field games; Optimal Control; Non-linear Markov Processes; Mathematics; Matematik;

    Abstract : The mean-field game theory is the study of strategic decision making in very large populations of weakly interacting individuals. Mean-field games have been an active area of research in the last decade due to its increased significance in many scientific fields. READ MORE

  7. 5. Bridges with Random Length and Pinning Point for Modelling the Financial Information

    Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

    Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE