Sökning: "Kac model"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Kac model.

  1. 1. Propagation of Chaos for Kac-like Particle Systems

    Författare :Dawan Mustafa; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Master equations; chaotic densities; kinetic equations; propagation of chaos; Kac model; thermostatted master equation; Boltzmann equation; BGK equation; quenched process; uniform distribution; spectral gap; approximation process; kinetic equations;

    Sammanfattning : This thesis concerns various aspects of the Kac model. The Kac model is a Markov jump process for a particle system where the total kinetic energy of the system is conserved. This particle model is connected to a limiting equation, describing the evolution of a one-particle density, when the numbers of particles tends to infinity. LÄS MER

  3. 2. Some Markov Processes in Finance and Kinetics : Markov Processes

    Författare :Mattias Sunden; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

    Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER

  4. 3. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Författare :Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. LÄS MER

  5. 4. 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

  7. 5. Arithmetic and Hyperbolic Structures in String Theory

    Författare :Daniel Persson; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Instantons; Kac-Moody algebras; Spacelike singularities; String Theory;

    Sammanfattning : This thesis consists of an introductory text followed by two separate parts which may be read independently of each other. In Part I we analyze certain hyperbolic structures arising when studying gravity in the vicinity of spacelike singularities (the BKL-limit). LÄS MER