Advanced search
Found 3 swedish dissertations matching the above criteria.
-
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
-
2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations
Abstract : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. READ MORE
-
3. A class of infinite dimensional stochastic processes with unbounded diffusion and its associated Dirichlet forms
Abstract : This thesis consists of two papers which focuses on a particular diffusion type Dirichlet form where Here is the basis in the Cameron-Martin space, H, consisting of the Schauder functions, and ν denotes the Wiener measure.In Paper I, we let vary over the space of wiener trajectories in a way that the diffusion operator A is almost everywhere an unbounded operator on the Cameron–Martin space. READ MORE