Search for dissertations about: "truncated Levy process"

Found 2 swedish dissertations containing the words truncated Levy process.

  2. 1. Topics in Simulation and Stochastic Analysis

    Author : Mikael Signahl; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Matematik; stochastic heat equation; stochastic wave equation; error rates; truncated Levy process; discontinuities; optimal decay rate; digital communication system;

    Abstract : Paper A investigates how to simulate a differentiated mean in cases where interchanging differentiation and expectation is not allowed. Three approaches are available, finite differences (FD's), infinitesimal perturbation analysis (IPA) and the likelihood ratio score function (LRSF) method. READ MORE

  4. 2. Two-Barrier Problems in Applied Probability: Algorithms and Analysis

    Author : Mats Pihlsgård; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; operations research; programming; actuarial mathematics; Statistik; Matematik; Mathematics; Naturvetenskap; Natural science; Reflection; Stochastic processes; Applied probability; Queueing; operationsanalys; programmering; aktuariematematik;

    Abstract : This thesis consists of five papers (A-E). In Paper A, we study transient properties of the queue length process in various queueing settings. We focus on computing the mean and the Laplace transform of the time required for the queue length starting at $x0. We define the loss rate due to the reflection. READ MORE