Sökning: "martingale methods"

Hittade 5 avhandlingar innehållade orden martingale methods.

  1. 1. Statistical analysis and simulation methods related to load-sharing models

    Författare :Patrik Rydén; Yuri Belyaev; Uwe Jensen; Umeå universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Non-parametric and parametric estimation; load-sharing models; asymptotic distribution; martingale; resampling; life testing; reliability;

    Sammanfattning : We consider the problem of estimating the reliability of bundles constructed of several fibres, given a particular kind of censored data. The bundles consist of several fibres which have their own independent identically dis-tributed failure stresses (i.e.the forces that destroy the fibres). LÄS MER

  2. 2. Aspects of cash-flow valuation

    Författare :Fredrik Armerin; Boualem Djehiche; Bjarne Astrup Jensen; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; arbitrage; coherent and convex measures of risk; immunization; insurance; martingale methods; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. LÄS MER

  3. 3. Martingale Hardy spaces and summability of the one dimensional Vilenkin-Fourier series

    Författare :George Tephnadze; Luleå tekniska universitet; []

    Sammanfattning : The classical theory of Fourier series deals with decomposition of afunction into sinusoidal waves. Unlike these continuous waves the Vilenkin(Walsh) functions are rectangular waves. LÄS MER

  4. 4. Stochastic epidemic models in heterogeneous communities

    Författare :David Lindenstrand; Tom Britton; Åke Svensson; Denis Mollison; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : The aim of Paper I is to explain where randomness should be taken into account when modelling epidemic spread, i.e. when a stochastic model is preferable to a deterministic counterpart. LÄS MER

  5. 5. Statistical Learning, Dynamics and Control : Fast Rates and Fundamental Limits for Square Loss

    Författare :Ingvar Ziemann; Henrik Sandberg; Raginsky Maxim; KTH; []
    Nyckelord :ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; Machine Learning; Control Theory; Statistical Learning; Fundamental Limits; Electrical Engineering; Elektro- och systemteknik;

    Sammanfattning : Learning algorithms play an ever increasing role in modern engineering solutions. However, despite many recent successes, their performance in the context of dynamical and control systems is not exactly well-understood. LÄS MER