Search for dissertations about: "jump process"
Showing result 1 - 5 of 46 swedish dissertations containing the words jump process.
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1. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications
Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE
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2. Mean Field Games for Jump Non-Linear Markov Process
Abstract : The mean-field game theory is the study of strategic decision making in very large populations of weakly interacting individuals. Mean-field games have been an active area of research in the last decade due to its increased significance in many scientific fields. READ MORE
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3. Propagation of Chaos for Kac-like Particle Systems
Abstract : This thesis concerns various aspects of the Kac model. The Kac model is a Markov jump process for a particle system where the total kinetic energy of the system is conserved. This particle model is connected to a limiting equation, describing the evolution of a one-particle density, when the numbers of particles tends to infinity. READ MORE
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4. Numerical Solution Methods in Stochastic Chemical Kinetics
Abstract : This study is concerned with the numerical solution of certain stochastic models of chemical reactions. Such descriptions have been shown to be useful tools when studying biochemical processes inside living cells where classical deterministic rate equations fail to reproduce actual behavior. READ MORE
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5. Valuation and Optimal Strategies in Markets Experiencing Shocks
Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE