Sökning: "first passage process"

Visar resultat 1 - 5 av 32 avhandlingar innehållade orden first passage process.

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

   Författare :Zbigniew Michna; Matematisk statistik; []
   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

3. 2. Bridges with Random Length and Pinning Point for Modelling the Financial Information

   Författare :Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

   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

4. 3. Accessibility percolation and first-passage percolation on the hypercube

   Författare :Anders Martinsson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; hypercube; percolation; accessible path; house of cards; rough mount Fuji; first-passage percolation; Richardson s model; branching translation process; hypercube;

   Sammanfattning : In this thesis, we consider two percolation models on the n-dimensional binary hypercube, known as accessibility percolation and first-passage percolation. First-passage percolation randomly assigns non-negative weights, called passage times, to the edges of a graph and considers the minimal total weight of a path between given end-points. LÄS MER

5. 4. Asymptotics and dynamics in first-passage and continuum percolation

   Författare :Daniel Ahlberg; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; first-passage percolation; noise sensitivity; continuum percolation; Gilbert model; limit theorems; shape theorem; stopped random walks; large deviations; dynamical percolation; continuum percolation;

   Sammanfattning : This thesis combines the study of asymptotic properties of percolation processes with various dynamical concepts. First-passage percolation is a model for the spatial propagation of a fluid on a discrete structure; the Shape Theorem describes its almost sure convergence towards an asymptotic shape, when considered on the square (or cubic) lattice. LÄS MER

7. 5. Stochasticity in Biophysical Systems: Searching, Aging, and Spreading

   Författare :Lloyd Sanders; Beräkningsbiologi och biologisk fysik - Genomgår omorganisation; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Anomalous diffusion; Single-file; Markov process; Epidemiology; First Passage Time;

   Sammanfattning : The role of stochasticity throughout many biophysical systems is of great importance. From evolution to foraging, from the spreading of viruses to cell fate, all hinge in one way or another on inherent stochasticity. LÄS MER