Sökning: "Levy Motion"
Visar resultat 1 - 5 av 10 avhandlingar innehållade orden Levy Motion.
1. Ruin probabilities and first passage times for self-similar processes
Sammanfattning : This thesis investigates ruin probabilities and first passage times for self-similar processes. We propose self-similar processes as a risk model with claims appearing in good and bad periods. Then, in particular, we get the fractional Brownian motion with drift as a limit risk process. LÄS MER
2. 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
3. Derivative Prices for Models using Levy Processes and Markov Switching
Sammanfattning : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. LÄS MER
4. Nelson-type Limits for α-Stable Lévy Processes
Sammanfattning : Brownian motion has met growing interest in mathematics, physics and particularly in finance since it was introduced in the beginning of the twentieth century. Stochastic processes generalizing Brownian motion have influenced many research fields theoretically and practically. LÄS MER
5. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited
Sammanfattning : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. LÄS MER