Search for dissertations about: "generalized Ornstein-Uhlenbeck process"

Found 2 swedish dissertations containing the words generalized Ornstein-Uhlenbeck process.

  2. 1. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

    Author : Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

    Abstract : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. READ MORE

  4. 2. Large deviation techniques applied to three questions of when

    Author : Ola Hammarlid; Anders Martin-Löf; Ingmar Kaj; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Large deviations; first passage time; stopping time; rate function; convex barrier; fallacy of large numbers; utility function; insurance; ruin; variable premium; generalized Ornstein-Uhlenbeck process; Mathematical statistics; Matematisk statistik;

    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