Search for dissertations about: "Lévy process"

Showing result 1 - 5 of 24 swedish dissertations containing the words Lévy process.

  1. 1. Ruin probabilities and first passage times for self-similar processes

    University dissertation from Printed in Sweden by KFS AB, LUND 1998

    Author : Zbigniew Michna; [1998]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Simulation of Ruin Probability; Monte Carlo Method; Skorokhod Topology; Weak Convergence; Rice s Formula; Fluid Model; Risk Model; Scaled Brownian Motion; Long Range Dependence; Fractional Brownian Motion; Renewal Process; Levy Motion; Stable Process; Self-Similar Process; Gaussian Process; Ruin Probability; First Passage Time; Exponential Bound; Picands Constant.; Mathematics; Matematik;

    Abstract : This thesis investigates ruin probabilities and first passage times for self-similar processes. We propose self-similar processes as a risk model with claims appearing in good and bad periods. Then, in particular, we get the fractional Brownian motion with drift as a limit risk process. READ MORE

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

    University dissertation from Institutionen för matematik och fysik

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; [2007]
    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

  3. 3. Essays on Gaussian Probability Laws with Stochastic Means and Variances With Applications to Financial Economics

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Anders Eriksson; Uppsala universitet.; [2005]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Approximating a function of random variables; Skewness Modeling; Skewed GARCH process; Lévy Process; Option pricing; Statistik; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Statistik;

    Abstract : This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. READ MORE

  4. 4. Some computational aspects of Markov processes

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Alexey Lindo; Göteborgs universitet.; Gothenburg University.; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Galton-Watson process; embeddability; Gumbel distribution; Markov chain with a general state space; probability generating functional; infinitely divisible distribution; Levy process; gradient method; Chen-Stein s method; random matrix.; probability generating functional; embeddability; Gumbel distribution; Levy process; Markov chain with a general state space; infinitely divisible distribution; gradient method; random matrix.; Chen-Stein s method;

    Abstract : .... READ MORE

  5. 5. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Andreas Petersson; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Lévy process; Lyapunov equation; white noise; finite element method; multilevel Monte Carlo; Monte Carlo; multiplicative noise; asymptotic mean square stability; stochastic heat equation; covariance operator; weak convergence; generalized Wiener process; numerical approximation; stochastic wave equation; Stochastic partial differential equations;

    Abstract : Stochastic partial differential equations (SPDE) must be approximated in space and time to allow for the simulation of their solutions. In this thesis fully discrete approximations of such equations are considered, with an emphasis on finite element methods combined with rational semigroup approximations. READ MORE