Sökning: "jump process"

Visar resultat 11 - 15 av 46 avhandlingar innehållade orden jump process.

1. 11. Topics in Mean-Field Control and Games for Pure Jump Processes

   Författare :Salah Eddine Choutri; Boualem Djehiche; Marco Fuhrman; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis is the collection of four papers addressing topics in stochastic optimal control, zero-sum games, backward stochastic differential equations, Pontryagin stochastic maximum principle and relaxed stochastic optimal control.In the first two papers, we establish existence of Markov chains of mean-field type, with countable state space and unbounded jump intensities. LÄS MER

3. 12. Calibration, Optimality and Financial Mathematics

   Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

   Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

4. 13. Efficiency Enhancement Techniques for Free-Electron Lasers

   Författare :Alan Mak; Lunds universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; free-electron laser; accelerator physics; efficiency enhancement; undulator tapering; phase jump method; synchrotron radiation; Fysicumarkivet:2017:Mak;

   Sammanfattning : The central question addressed in this thesis is how to make the free-electron laser (FEL) more efficient. In recent years, coherent diffraction imaging provides an important motivation for efficiency enhancement. This is because a more efficient FEL process enables converting a larger fraction of the electron beam's power into optical power. LÄS MER

5. 14. Pricing of Some Path-Dependent Options on Equities and Commodities

   Författare :Mats Kjaer; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

   Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER

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

   Författare :Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
   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