Sökning: "Jump Diffusion Process"

Visar resultat 1 - 5 av 19 avhandlingar innehållade orden Jump Diffusion Process.

  1. 1. Theory of Hydrogen Quantum Diffusion

    Författare :Thomas Mattsson; Chalmers University of Technology; []
    Nyckelord :path-integrals; isotope effect; transition state theory; quantum; diffusion; hydrogen; first-principles calculations; nickel;

    Sammanfattning : Atomic hydrogen adsorbed on a metal surface is one of the simplest possible examples of chemisorption, yet it is very challenging. The adsorption and the very elementary process of surface diffusion, a single atomic jump, have been investigated theoretically using several methods. LÄS MER

  2. 2. Stochastic Simulation of Multiscale Reaction-Diffusion Models via First Exit Times

    Författare :Lina Meinecke; Per Lötstedt; Stefan Engblom; Ramon Grima; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; computational systems biology; diffusion; first exit times; unstructured meshes; reaction-diffusion master equation; macromolecular crowding; excluded volume effects; finite element method; backward analysis; stochastic simulation; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : Mathematical models are important tools in systems biology, since the regulatory networks in biological cells are too complicated to understand by biological experiments alone. Analytical solutions can be derived only for the simplest models and numerical simulations are necessary in most cases to evaluate the models and their properties and to compare them with measured data. LÄS MER

  3. 3. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER

  4. 4. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

    Författare :José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

    Sammanfattning : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. LÄS MER

  5. 5. Mean Field Games for Jump Non-Linear Markov Process

    Författare :Rani Basna; Astrid Hilbert; Rainer Buckdahn; Linnéuniversitetet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mean-field games; Optimal Control; Non-linear Markov Processes; Mathematics; Matematik;

    Sammanfattning : The mean-field game theory is the study of strategic decision making in very large populations of weakly interacting individuals. Mean-field games have been an active area of research in the last decade due to its increased significance in many scientific fields. LÄS MER