Sökning: "Feynman-Kac’ formula"

Hittade 3 avhandlingar innehållade orden Feynman-Kac’ formula.

  1. 1. Asymptotic distribution theory for some test statistics in autoregressive and Galton-Watson processes

    Författare :Rolf Larsson; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Feynman-Kac’ formula; Saddlepoint approximation.; matematisk statistik; Mathematical Statistics;

    Sammanfattning : In this thesis, we study asymptotic distributions of some unit root test statistics in autoregressive processes. We then generalize, at first to the situation when the true parameter value is close to one^(thenear integrated case), and secondly to the corresponding test problems in the Galton-Watson process (i.e. LÄS MER

  3. 2. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Författare :Carl Lindberg; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; 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

  4. 3. A Probabilistic Approach to Non-Markovian Impulse Control

    Författare :Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

    Sammanfattning : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. LÄS MER