Sökning: "discrete Markov processes"

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

1. 1. Barycentric Markov processes and stability of stochastic integrators

   Författare :Philip Kennerberg; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; geometric probability; dirichlet processes; Markov processes; stochastic integration; interacting particle systems;

   Sammanfattning : This thesis consists of four papers that broadly concerns two dierent topics. The rsttopic is so-called barycentric Markov processes. By a barycentric Markov process wemean a process that consists of a point/particle system evolving in (discrete) time,whose evolution depends in some way on the mean value of the current points in thesystem. LÄS MER

3. 2. Semi-Markov Models for Insurance and Option Rewards

   Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER

4. 3. 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

5. 4. Multi-trait Branching Models with Applications to Species Evolution

   Författare :Daniah Tahir; Ingemar Kaj; Martin Lascoux; Asger Hobolth; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Markov models; branching processes; density dependence; discrete traits; species trees; diversification rates; diffusion approximation;

   Sammanfattning : This thesis provides an analysis of the evolution of discrete traits and their effect on the birth and survival of species using the theory of supercritical, continuous time Markov branching processes. We present a branching modeling framework that incorporates multi-trait diversification processes associated with the emergence of new species, death of existing species, and transition of species carrying one type of a trait to another. LÄS MER

7. 5. Probabilistic Sequence Models with Speech and Language Applications

   Författare :Gustav Eje Henter; W. Bastiaan Kleijn; Arne Leijon; Gernot Kubin; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Time series; acoustic modelling; speech synthesis; stochastic processes; causal-state splitting reconstruction; robust causal states; pattern discovery; Markov models; HMMs; nonparametric models; Gaussian processes; Gaussian process dynamical models; nonlinear Kalman filters; information theory; minimum entropy rate simplification; kernel density estimation; time-series bootstrap;

   Sammanfattning : Series data, sequences of measured values, are ubiquitous. Whenever observations are made along a path in space or time, a data sequence results. To comprehend nature and shape it to our will, or to make informed decisions based on what we know, we need methods to make sense of such data. LÄS MER