Sökning: "stochastic Volterra equations"

Hittade 2 avhandlingar innehållade orden stochastic Volterra equations.

1. 1. On weak convergence, Malliavin calculus and Kolmogorov equations in infinite dimensions

   Författare :Adam Andersson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic evolution equations; stochastic Volterra equations; weak approximation; Kolmogorov equations in infinite dimensions; Malliavin calculus; finite element method; backward Euler method; Kolmogorov equations in infinite dimensions;

   Sammanfattning : This thesis is focused around weak convergence analysis of approximations of stochastic evolution equations in Hilbert space. This is a class of problems, which is sufficiently challenging to motivate new theoretical developments in stochastic analysis. LÄS MER

3. 2. Topics on fractional Brownian motion and regular variation for stochastic processes

   Författare :Henrik Hult; KTH; []
   Nyckelord :stochastic processes; regular variation; extreme value theory; fractional Brownian motion; parameter estimation;

   Sammanfattning : The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. LÄS MER