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Showing result 1 - 5 of 14 swedish dissertations matching the above criteria.

2. 1. Random Geometry and Reinforced Jump Processes

   Author : Tuan-Minh Nguyen; Probability and Inference Theory Group; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; random polygons; products of random matrices; vertex-reinforced jump processes; pseudotrajectories; random walks in simplexes; Markov chains in a general state space;

   Abstract : This thesis comprises three papers studying several mathematical models related to geometric Markov processes and random processes with reinforcements. The main goal of these works is to investigate the dynamics as well as the limiting behaviour of the models as time goes to infinity, the existence of invariant measures and limiting distributions, the speed of convergence and other interesting relevant properties. READ MORE

4. 2. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

   Author : José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

   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

5. 3. Stochastic Simulation of Multiscale Reaction-Diffusion Models via First Exit Times

   Author : Lina Meinecke; Per Lötstedt; Stefan Engblom; Ramon Grima; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; computational systems biology; diffusion; first exit times; unstructured meshes; reaction-diffusion master equation; macromolecular crowding; excluded volume effects; finite element method; backward analysis; stochastic simulation; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Abstract : Mathematical models are important tools in systems biology, since the regulatory networks in biological cells are too complicated to understand by biological experiments alone. Analytical solutions can be derived only for the simplest models and numerical simulations are necessary in most cases to evaluate the models and their properties and to compare them with measured data. READ MORE

6. 4. Two Problems in non-linear PDE’s with Phase Transitions

   Author : Karl Jonsson; Henrik Shahgholian; Tomas Sjödin; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Conductivity jump; Free boundary problem; Quasilinear elliptic equation; Mathematical techniques; Nonlinear analysis; Free boundary; Free-boundary problems; Quasi-linear elliptic; Quasilinear elliptic equations; Hele-Shaw flow; non-local; implicit function theorem; Heterogeneous Multi Scale; HMM; Finite Element; FEM; FE; Mathematics; Matematik;

   Abstract : This thesis is in the field of non-linear partial differential equations (PDE), focusing on problems which show some type of phase-transition. A single phase Hele-Shaw flow models a Newtoninan fluid which is being injected in the space between two narrowly separated parallel planes. READ MORE

7. 5. Pricing Portfolio Credit Derivatives

   Author : Alexander Herbertsson; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

   Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE