Sökning: "generalized Wiener process"
Hittade 4 avhandlingar innehållade orden generalized Wiener process.
1. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis
Sammanfattning : Stochastic partial differential equations (SPDE) must be approximated in space and time to allow for the simulation of their solutions. In this thesis fully discrete approximations of such equations are considered, with an emphasis on finite element methods combined with rational semigroup approximations. LÄS MER
2. Control and Communication with Signal-to-Noise Ratio Constraints
Sammanfattning : This thesis is about two problems in the intersection of communication and control theory. Their common feature is that they involve communication over an additive white noise channel with a signal-to-noise ratio (SNR) constraint. The first problem concerns the transmission of a real-valued signal from a partially observed Markov source. LÄS MER
3. On Lévy Processes in Mathematical Finance
Sammanfattning : The focus of the first article, On the Modelling of Financial Data with Generalized Hyperbolic Distributions, lies in studying the performance of the generalized hyperbolic distribution (GH), when fitted to historical data. Four different areas were selected. LÄS MER
4. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging
Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER