Sökning: "Brownian bridge"
Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Brownian bridge.
1. Bridges with Random Length and Pinning Point for Modelling the Financial Information
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
2. Gaussian Bridges : Modeling and Inference
Sammanfattning : This thesis consists of a summary and five papers, dealing with the modeling of Gaussian bridges and membranes and inference for the α-Brownian bridge.In Paper I we study continuous Gaussian processes conditioned that certain functionals of their sample paths vanish. We deduce anticipative and non-anticipative representations for them. LÄS MER
3. Optimal Sequential Decisions in Hidden-State Models
Sammanfattning : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. LÄS MER
4. Goodness-of-fit in Multivariate Time Series
Sammanfattning : Goodness-of-fit is an important task in time series analysis. In this thesis, wepropose a new family of statistics and a new goodness-of-fit process for the wellknownmultivariate autoregressive moving average VARMA(p,q) model.Some preliminary results are studied first for an initial goodness-of-fit method. LÄS MER
5. Variance reduction methods for numerical solution of plasma kinetic diffusion
Sammanfattning : Performing detailed simulations of plasma kinetic diffusion is a challenging task and currently requires the largest computational facilities in the world. The reason for this is that, the physics in a confined heated plasma occur on a broad range of temporal and spatial scales. LÄS MER