Search for dissertations about: "Renewal Theory"

Showing result 1 - 5 of 36 swedish dissertations containing the words Renewal Theory.

  2. 1. Markov Chains, Renewal, Branching and Coalescent Processes : Four Topics in Probability Theory

    Author : Andreas Nordvall Lagerås; Thomas Höglund; Ingemar Kaj; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik; matematisk statistik; Mathematical Statistics;

    Abstract : This thesis consists of four papers.In paper 1, we prove central limit theorems for Markov chains under (local) contraction conditions. As a corollary we obtain a central limit theorem for Markov chains associated with iterated function systems with contractive maps and place-dependent Dini-continuous probabilities. READ MORE

  4. 2. Perturbed Renewal Equations with Non-Polynomial Perturbations

    Author : Ying Ni; Dmitrii Silvestrov; Anatoliy Malyarenko; Yuri Belyaev; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; perturbed renewal equation; non-polynomial perturbation; exponential asymptotic expansion; risk process; ruin probability; Mathematical statistics; Matematisk statistik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k . READ MORE

  5. 3. Asymptotic Expansions for Perturbed Discrete Time Renewal Equations

    Author : Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Henrik Hult; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Quasi-stationary distribution; Risk process; Ruin probability;

    Abstract : In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. READ MORE

  6. 4. Perturbed discrete time stochastic models

    Author : Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Nikolaos Limnios; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Risk process; Semi-Markov process; Markov chain; Quasi-stationary distribution; Ruin probability; First hitting time; Solidarity property; Mathematical Statistics; matematisk statistik;

    Abstract : In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. READ MORE

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

    Author : Zbigniew Michna; Matematisk statistik; []
    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