Sökning: "Gaussian process"

Visar resultat 1 - 5 av 141 avhandlingar innehållade orden Gaussian process.

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

    Författare :Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Nyckelord :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;

    Sammanfattning : 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. LÄS MER

  3. 2. Ruin probabilities and first passage times for self-similar processes

    Författare :Zbigniew Michna; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Simulation of Ruin Probability; Monte Carlo Method; Skorokhod Topology; Weak Convergence; Rice s Formula; Fluid Model; Risk Model; Scaled Brownian Motion; Long Range Dependence; Fractional Brownian Motion; Renewal Process; Levy Motion; Stable Process; Self-Similar Process; Gaussian Process; Ruin Probability; First Passage Time; Exponential Bound; Picands Constant.; Mathematics; Matematik;

    Sammanfattning : This thesis investigates ruin probabilities and first passage times for self-similar processes. We propose self-similar processes as a risk model with claims appearing in good and bad periods. Then, in particular, we get the fractional Brownian motion with drift as a limit risk process. LÄS MER

  4. 3. Noise sensitivity and FK-type representations for Gaussian and stable processes

    Författare :Malin Palö Forsström; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; color representation; exclusion process; color process; Noise sensitivity; threshold stable vector; volatility; noise stability; interchange process; threshold Gaussian vector; multivariate stable distribution; Bernoulli random vector; mixing time;

    Sammanfattning : This thesis contains four papers on probability theory. Paper A concerns the question of whether the exclusion sensitivity and exclusion stability of a sequence of Boolean functions are monotone with respect to adding edges to the underlying sequence of graphs. LÄS MER

  5. 4. Some Markov Processes in Finance and Kinetics : Markov Processes

    Författare :Mattias Sunden; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

    Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER

  7. 5. Gaussian process models of social change

    Författare :Björn Rune Helmer Blomqvist; David J. T. Sumpter; Ranjula Bali Swain; Ian Vernon; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Gaussian processes; Bayesian statistics; Dynamical systems; Social sciences; Tillämpad matematik och statistik; Applied Mathematics and Statistics;

    Sammanfattning : Social systems produce complex and nonlinear relationships in the indicator variables that describe them. Traditional statistical regression techniques are commonly used in the social sciences to study such systems. LÄS MER