Sökning: "Markov property"

Visar resultat 1 - 5 av 20 avhandlingar innehållade orden Markov property.

  1. 1. Perturbed discrete time stochastic models

    Författare :Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Nikolaos Limnios; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Risk process; Semi-Markov process; Markov chain; Quasi-stationary distribution; Ruin probability; First hitting time; Solidarity property; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. LÄS MER

  3. 2. Numerical Solution Methods in Stochastic Chemical Kinetics

    Författare :Stefan Engblom; Per Lötstedt; Wilhelm Huisinga; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stochastic models; chemical master equation; mesoscopic kinetics; Markov property; jump process; moment closure problem; spectral-Galerkin method; high dimensional problem; hybrid methods; time-parallel; homogenization; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : This study is concerned with the numerical solution of certain stochastic models of chemical reactions. Such descriptions have been shown to be useful tools when studying biochemical processes inside living cells where classical deterministic rate equations fail to reproduce actual behavior. LÄS MER

  4. 3. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Författare :Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. LÄS MER

  5. 4. Bayesian Modeling of Directional Data with Acoustic and Other Applications

    Författare :Jalil Taghia; Arne Leijon; W. Bastiaan Kleijn; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Directional statistics; directional distributions; axial distributions; von Mises-Fisher distribution; complex Watson distribution; complex Bingham distribution; Bayesian inference; probabilistic modeling; variational inference; two-dimensional hidden Markov models; Markov chain; blind source separation; frequency domain BSS; underdetermined BSS; online BSS; Bayesian recursive; gene expression data; gene-microarray data; line spectral frequency; speaker identification. ii;

    Sammanfattning : A direction is defined here as a multi-dimensional unit vector. Such unitvectors form directional data. Closely related to directional data are axialdata for which each direction is equivalent to the opposite direction.Directional data and axial data arise in various fields of science. LÄS MER

  7. 5. Approximation of pluricomplex Green functions : A probabilistic approach

    Författare :Azza Alghamdi; Maciej Klimek; Kaj Nyström; Anna Zdunik; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; pluricomplex Green function; pluriregular sets; Bernstein-Markov property; Bergman function; nearly orthonormal polynomials; orthogonal polynomials; Monte Carlo simulation; composite Julia sets; Julia sets; iterated function systems; the chaos game.;

    Sammanfattning : This PhD thesis focuses on probabilistic methods of approximation of pluricomplex Green functions and is based on four papers.The thesis begins with a general introduction to the use of pluricomplex Green functions in multidimensional complex analysis and a review of their main properties. LÄS MER