Search for dissertations about: "Stochastic Process"

Showing result 1 - 5 of 378 swedish dissertations containing the words Stochastic Process.

  2. 1. Bridges with Random Length and Pinning Point for Modelling the Financial Information

    Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

    Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE

  4. 2. Modelling and Inference for Spatio-Temporal Marked Point Processes

    Author : Ottmar Cronie; Göteborgs universitet; []
    Keywords : LANTBRUKSVETENSKAPER; AGRICULTURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Asymptotic normality; Consistency; Cox-Ingersoll-Ross process; Diffusion process; Edge correction; Goodness-of-fit; Richards growth function; Growth-interaction process; Immigration-death process; Least squares estimation; Markov process; Maximum likelihood estimation; Open-growth; Spatio-temporal marked point process; Stationarity; Stochastic differential equation; Transition density; Asymptotic normality;

    Abstract : This thesis deals with inference problems related to the growth-interaction process (GI-process). The GI-process is a continuous time spatio-temporal point process with dynamic interacting marks (closed disks), in which the immigration-death process (ID-process) controls the arrivals of new marked points as well as their potential life-times. READ MORE

  5. 3. Software Investments under Uncertainty : Modeling Intangible Consequences as a Stochastic Process

    Author : Emil Numminen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Software investment valuation; usage; intangible consequences; cash flow; discounted cash flow model; stochastic process;

    Abstract : Software systems are today a part of more or less every organization. The varieties of software used in organizations are ranging from simple log-keeping applications to advanced decision support systems. The task of a priori valuation of software investments has attracted a lot of research for a long time. 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. Stochastic systems with locally defined dynamics

    Author : Anton Muratov; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; point process; sequential adsorption; stopping set; random measure; Polya urn; convergence of empirical measures; bit flipping; recurrence; renewal process; Poisson process; Dirichlet distribution; random matrices; random matrices;

    Abstract : We study three different classes of models of stochastic systems with locally defined dynamics. Our main points of interest are the limiting properties and convergence in these models. The first class is the locally interactive sequential adsorption, or LISA, models. READ MORE