Sökning: "Scaled Brownian Motion"

Hittade 4 avhandlingar innehållade orden Scaled Brownian Motion.

  1. 1. Ruin probabilities and first passage times for self-similar processes

    Detta är en avhandling från Printed in Sweden by KFS AB, LUND 1998

    Författare :Zbigniew Michna; Lunds universitet.; Lund University.; [1998]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Simulation of Ruin Probability; Monte Carlo Method; Skorokhod Topology; Weak Convergence; Rice s Formula; Fluid Model; Risk Model; Scaled Brownian Motion; Long Range Dependence; Fractional Brownian Motion; Renewal Process; Levy Motion; Stable Process; Self-Similar Process; Gaussian Process; Ruin Probability; First Passage Time; Exponential Bound; Picands Constant.; Mathematics; Matematik;

    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. 2. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

    Detta är en avhandling från Växjö, Kalmar : Linnaeus University Press

    Författare :Haidar Al-Talibi; Linnéuniversitetet.; [2012]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

    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

  3. 3. Nelson-type Limits for α-Stable Lévy Processes

    Detta är en avhandling från Linnéuniversitet

    Författare :Haidar Al-Talibi; Linnéuniversitetet.; [2010]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Ornstein-Uhlenbeck position process; α-stable Lévy noise; scaling limits; time change; stochastic Newton equations; MATHEMATICS Applied mathematics Mathematical statistics; MATEMATIK Tillämpad matematik Matematisk statistik; MATHEMATICS Applied mathematics; MATEMATIK Tillämpad matematik; Mathematics; Matematik;

    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

  4. 4. Studies of Charge Transport Processes in Dye-sensitized Solar Cells

    Detta är en avhandling från Stockholm : KTH

    Författare :Kristofer Fredin; KTH.; [2007]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; solar cell; mesoporous; dye-sensitized; model; simulation; electron transport; trap distribution; NATURAL SCIENCES Chemistry Physical chemistry; NATURVETENSKAP Kemi Fysikalisk kemi;

    Sammanfattning : Dye-sensitized solar cells (DSCs) have attained considerable attention during the last decade because of the potential of becoming a low cost alternative to silicon based solar cells. Although efficiencies exceeding 10% in full sunlight have been presented, major improvements of the system are however limited. LÄS MER