Sökning: "Brownian motions"

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

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

    Författare :Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; 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. Stochastic Models in Phylogenetic Comparative Methods: Analytical Properties and Parameter Estimation

    Författare :Krzysztof Bartoszek; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :Adaptation; Adaptation; Birth-death process; Branching diffusion; Brownian motions; Conditioned branching process; Evolution; General Linear Model; Hybridization; Macroevolution; Measurement error; Multivariate phylogenetic comparative method; Optimality; Ornstein-Uhlenbeck process; Phyletic gradualism; Phylogenetic inertia; Phylogenetic uncertainty; Punctuated equilibrium; Yule tree; Macroevolution;

    Sammanfattning : Phylogenetic comparative methods are well established tools for using inter-species variation to analyse phenotypic evolution and adaptation. They are generally hampered, however, by predominantly univariate approaches and failure to include uncertainty and measurement error in the phylogeny as well as the measured traits. LÄS MER

  4. 3. Fluorescence studies of complex systems : organisation of biomolecules

    Författare :Denys Marushchak; Lennart B.A. Johansson; Alexander Lyubartsev; Umeå universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Fluorescence anisotropy; BODIPY; homo and hetero dimerisation; protein aggregates; protein polymer structures; actin polymerisation; FRET; donor–acceptor energy transfer DAET; donor-donor energy migration DDEM; homotransfer; Monte Carlo simulation; MC; Brownian dynamics; BD; Genetic Algorithm; GA.; Ganglioside GM1; Biophysical chemistry; Biofysikalisk kemi;

    Sammanfattning : The homo and hetero dimerisation of two spectroscopically different chromophores were studied, namely: 4,4-difluoro-4-bora-3a,4a-diazas-indacene (g-BODIPY) and its 5-styryl-derivative (r-BODIPY). Various spectroscopic properties of the r-BODIPY in different common solvents were determined. LÄS MER

  5. 4. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Författare :Carl Lindberg; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

    Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER

  7. 5. Carbohydrate dynamics and interactions studied by NMR spectroscopy

    Författare :Olof Engström; Göran Widmalm; Niklas Hedin; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The combination of NMR spectroscopy and molecular dynamics (MD) simulations are powerful tools in the studying of bioorganic molecules in solution. In this thesis two such studies are presented with focus on the NMR aspect. LÄS MER