Sökning: "fractional Brownian motion"

Visar resultat 1 - 5 av 9 avhandlingar innehållade orden fractional Brownian motion.

1. 1. Topics on fractional Brownian motion and regular variation for stochastic processes

   Författare :Henrik Hult; KTH; []
   Nyckelord :stochastic processes; regular variation; extreme value theory; fractional Brownian motion; parameter estimation;

   Sammanfattning : The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. 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. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

   Författare :Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
   Nyckelord :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;

   Sammanfattning : 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]. LÄS MER

5. 4. A Non-Gaussian Limit Process with Long-Range Dependence

   Författare :Raimundas Gaigalas; Ingemar Kaj; Esko Valkeila; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; long-range dependence; traffic modelling; arrival process; self-similarity; heavy tails; fractional Brownian motion; stable processes; renewal processes; independently scattered random measure; weak convergence; 60F17; 60G18; 90B18; 60K05 ; Matematisk statistik; Mathematical statistics; Matematisk statistik;

   Sammanfattning : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. LÄS MER

7. 5. Infrastructure investment planning under uncertainty

   Författare :Niclas A. Krüger; Lars Hultkrantz; Farideh Ramjerdi; Örebro universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real options; Wavelets; Risk; Uncertainty; Investments; Growth; Benefit-cost analysis; Infrastructure; Transportation; Traffic safety; Fractional Brownian motion; Incomplete contracts; Monte-Carlo simulation; Long memory; Economics; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : This dissertation is concerned with the planning processes in transportation and infrastructure investments and the aim is to improve risk assessment, risk valuation and risk management. Many of the results presented in this thesis are also applicable to a wider range of questions... LÄS MER