Search for dissertations about: "Kac model"

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

  1. 1. Propagation of Chaos for Kac-like Particle Systems

    Author : Dawan Mustafa; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : Master equations; chaotic densities; kinetic equations; propagation of chaos; Kac model; thermostatted master equation; Boltzmann equation; BGK equation; quenched process; uniform distribution; spectral gap; approximation process; kinetic equations;

    Abstract : This thesis concerns various aspects of the Kac model. The Kac model is a Markov jump process for a particle system where the total kinetic energy of the system is conserved. This particle model is connected to a limiting equation, describing the evolution of a one-particle density, when the numbers of particles tends to infinity. READ MORE

  2. 2. Some Markov Processes in Finance and Kinetics : Markov Processes

    Author : Mattias Sundén; Mattias Sunden; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

    Abstract : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. READ MORE

  3. 3. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Author : Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. READ MORE

  4. 4. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Author : Carl Lindberg; CARL LINDBERG; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

    Abstract : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. READ MORE

  5. 5. Arithmetic and Hyperbolic Structures in String Theory

    Author : Daniel Persson; Chalmers University of Technology; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Instantons; Kac-Moody algebras; Spacelike singularities; String Theory;

    Abstract : This thesis consists of an introductory text followed by two separate parts which may be read independently of each other. In Part I we analyze certain hyperbolic structures arising when studying gravity in the vicinity of spacelike singularities (the BKL-limit). READ MORE