Search for dissertations about: "Ornstein-Uhlenbeck process"
Showing result 6 - 10 of 21 swedish dissertations containing the words Ornstein-Uhlenbeck process.
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6. Large deviation techniques applied to three questions of when
Abstract : Large deviation techniques are used to solve three problems; when is a distant convex barrier passed, when to accept a sequence of gambles and when is the time of ruin. This work is the collection of four papers. READ MORE
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7. Portfolio Optimization and Statistics in Stochastic Volatility Markets
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
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8. Limit theorems for generalizations of GUE random matrices
Abstract : This thesis consists of two papers devoted to the asymptotics of random matrix ensembles and measure valued stochastic processes which can be considered as generalizations of the Gaussian unitary ensemble (GUE) of Hermitian matrices H=A+A†, where the entries of A are independent identically distributed (iid) centered complex Gaussian random variables. In the first paper, a system of interacting diffusing particles on the real line is studied; special cases include the eigenvalue dynamics of matrix-valued Ornstein-Uhlenbeck processes (Dyson's Brownian motion). READ MORE
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9. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance
Abstract : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. READ MORE
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10. A Serendipitous Journey through Stochastic Processes
Abstract : In this PhD thesis we will present some new insights in different problems in the field of stochastic processes. A stochastic resonance system is studied using path integral techniques, originally developed in quantum field theory, to recover the optimal means through which noise self-organises before a rare transition from one potential well to the other. READ MORE