Relevant bibliographies by topics / Modèle de Brownian Motion / Dissertations / Theses
To see the other types of publications on this topic, follow the link: Modèle de Brownian Motion.

Dissertations / Theses on the topic 'Modèle de Brownian Motion'

Author: Grafiati
Published: 4 June 2021
Last updated: 8 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'Modèle de Brownian Motion.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Ang, Eu-Jin. "Brownian motion queueing models of communications and manufacturing systems." Thesis, Imperial College London, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298242.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

Full text
Abstract:
<p>This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the&nbsp<br>Geometric Brownian motion in finance, namely the stationa
APA, Harvard, Vancouver, ISO, and other styles
3

Cai, Chunhao. "Analyse statistique de quelques modèles de processus de type fractionnaire." Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1030/document.

Full text
Abstract:
Cette thèse porte sur l’analyse statistique de quelques modèles de processus stochastiques gouvernés par des bruits de type fractionnaire, en temps discret ou continu.Dans le Chapitre 1, nous étudions le problème d’estimation par maximum de vraisemblance (EMV) des paramètres d’un processus autorégressif d’ordre p (AR(p)) dirigé par un bruit gaussien stationnaire, qui peut être à longue mémoire commele bruit gaussien fractionnaire. Nous donnons une formule explicite pour l’EMV et nous analysons ses propriétés asymptotiques. En fait, dans notre modèle la fonction de covariance du bruit est suppo
APA, Harvard, Vancouver, ISO, and other styles
4

Lebovits, Joachim. "Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance." Phd thesis, Châtenay-Malabry, Ecole centrale de Paris, 2012. http://tel.archives-ouvertes.fr/tel-00704526.

Full text
Abstract:
The aim of this PhD Thesis was to build and develop a stochastic calculus (in particular a stochastic integral) with respect to multifractional Brownian motion (mBm). Since the choice of the theory and the tools to use was not fixed a priori, we chose the White Noise theory which generalizes, in the case of fractional Brownian motion (fBm) , the Malliavin calculus. The first chapter of this thesis presents several notions we will use in the sequel.In the second chapter we present a construction as well as the main properties of stochastic integral with respect to harmonizable mBm.We also give
APA, Harvard, Vancouver, ISO, and other styles
5

Graf, Ferdinand. "Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-35340.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Bauke, Francisco Conti. "Portadores quentes : modelo browniano /." Rio Claro : [s.n.], 2011. http://hdl.handle.net/11449/91881.

Full text
Abstract:
Orientador: Roberto E. Lagos Monaco<br>Banca: José Antonio Roversi<br>Banca: Bernardo Laks<br>Resumo: Neste trabalho estudamos o modelo do movimento Browniano de uma partícula carregada sob a ação de campos elétrico e magnético, externos e homogêneos, no formalismo de Langevin. Calculamos a energia cinética média através do teorema da flutuação-dissipação e obtivemos uma expressão para a temperatura efetiva das partículas Brownianas em função da temperatura do reservatório e dos campos externos. Esta temperatura efetiva mostrou-se sempre maior que a temperatura do reservatório, o que explica a
APA, Harvard, Vancouver, ISO, and other styles
7

Bauke, Francisco Conti [UNESP]. "Portadores quentes: modelo browniano." Universidade Estadual Paulista (UNESP), 2011. http://hdl.handle.net/11449/91881.

Full text
Abstract:
Made available in DSpace on 2014-06-11T19:25:31Z (GMT). No. of bitstreams: 0 Previous issue date: 2011-02-17Bitstream added on 2014-06-13T20:14:03Z : No. of bitstreams: 1 bauke_fc_me_rcla.pdf: 1413465 bytes, checksum: 5695187aaf8a438767e3a8684e26c073 (MD5)<br>Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)<br>Neste trabalho estudamos o modelo do movimento Browniano de uma partícula carregada sob a ação de campos elétrico e magnético, externos e homogêneos, no formalismo de Langevin. Calculamos a energia cinética média através do teorema da flutuação-dissipação e obtivemo
APA, Harvard, Vancouver, ISO, and other styles
8

Mvondo, Bernardin Gael. "Numerical techniques for optimal investment consumption models." University of the Western Cape, 2014. http://hdl.handle.net/11394/4352.

Full text
Abstract:
>Magister Scientiae - MSc<br>The problem of optimal investment has been extensively studied by numerous researchers in order to generalize the original framework. Those generalizations have been made in different directions and using different techniques. For example, Perera [Optimal consumption, investment and insurance with insurable risk for an investor in a Levy market, Insurance: Mathematics and Economics, 46 (3) (2010) 479-484] applied the martingale approach to obtain a closed form solution for the optimal investment, consumption and insurance strategies of an individual in the presence
APA, Harvard, Vancouver, ISO, and other styles
9

Teichmann, Jakob. "Stochastic modeling of Brownian and turbulent coagulation." Doctoral thesis, Technische Universitaet Bergakademie Freiberg Universitaetsbibliothek "Georgius Agricola", 2017. http://nbn-resolving.de/urn:nbn:de:bsz:105-qucosa-220625.

Full text
Abstract:
Als Beitrag zu einer verbesserten Filtration von Metallschmelzen werden stochastische Modelle für den essentiellen Mechanismus der Koagulation von Brownschen Partikeln und Partikeln in turbulenten Strömungen entwickelt und untersucht. Formeln für die zeitliche Entwicklung der Partikelkonzentration in diesen Systemen erlauben die Bestimmung von physikalischen Parametern, welche die Koagulation und somit die Filtration begünstigen. Um wichtige Resultate im Zusammenhang mit der traditionellen Herangehensweise für Brownsche Partikel zu berichtigen und zu erweitern, wird ein neuer Ansatz in Form zw
APA, Harvard, Vancouver, ISO, and other styles
10

Nouri, Suhila Lynn. "Expected maximum drawdowns under constant and stochastic volatility." Link to electronic thesis, 2006. http://www.wpi.edu/Pubs/ETD/Available/etd-050406-151319/.

Full text
APA, Harvard, Vancouver, ISO, and other styles
11

Mohaupt, Mikaël. "Modélisation et simulation de l'agglomération des colloïdes dans un écoulement turbulent." Thesis, Vandoeuvre-les-Nancy, INPL, 2011. http://www.theses.fr/2011INPL068N/document.

Full text
Abstract:
Ce travail de thèse porte sur la modélisation et la simulation numérique de la collision et l'agglomération de particules colloïdales dans un écoulement fluide turbulent par une nouvelle méthode. Ces particules sont sensibles dans une même mesure aux effets brownien et turbulent. La première partie du travail concerne la modélisation du phénomène physique,allant du transport des particules jusqu'à la modélisation des forces d'adhésion physico-chimiques en passant par l'étape cruciale qui est la détection des interactions entre les particules (collisions). Cette détection des collisions est dan
APA, Harvard, Vancouver, ISO, and other styles
12

Chen, Yaming. "Dynamical properties of piecewise-smooth stochastic models." Thesis, Queen Mary, University of London, 2014. http://qmro.qmul.ac.uk/xmlui/handle/123456789/9129.

Full text
Abstract:
Piecewise-smooth stochastic systems are widely used in engineering science. However, the theory of these systems is only in its infancy. In this thesis, we take as an example the Brownian motion with dry friction to illustrate dynamical properties of these systems with respect to three interesting topics: (i) weak-noise approximations, (ii) first-passage time (FPT) problems and (iii) functionals of stochastic processes. Firstly, we investigate the validity and accuracy of weak-noise approximations for piecewise-smooth stochastic differential equations (SDEs), taking as an illustrative example
APA, Harvard, Vancouver, ISO, and other styles
13

Londani, Mukhethwa. "Numerical Methods for Mathematical Models on Warrant Pricing." University of the Western Cape, 2010. http://hdl.handle.net/11394/8210.

Full text
Abstract:
>Magister Scientiae - MSc<br>Warrant pricing has become very crucial in the present market scenario. See, for example, M. Hanke and K. Potzelberger, Consistent pricing of warrants and traded options, Review Financial Economics 11(1) (2002) 63-77 where the authors indicate that warrants issuance affects the stock price process of the issuing company. This change in the stock price process leads to subsequent changes in the prices of options written on the issuing company's stocks. Another notable work is W.G. Zhang, W.L. Xiao and C.X. He, Equity warrant pricing model under Fractional Brownian m
APA, Harvard, Vancouver, ISO, and other styles
14

Mawoussi, Kodjo. "Effet de l'encombrement des protéines sur la diffusion des lipides et des protéines membranaires." Thesis, Paris 6, 2017. http://www.theses.fr/2017PA066541/document.

Full text
Abstract:
La diffusion latérale des lipides et des protéines transmembranaires est essentielle pour les fonctions biologiques. Dans le contexte cellulaire, la fraction surfacique des protéines membranaires est élevée, atteignant environ de 50 à 70% selon le type de membrane. La diffusion se fait donc dans un milieu très encombré. Le but de ce travail est d'étudier in vitro l'effet de l'encombrement des protéines sur la diffusion des protéines et des lipides. Jusqu'à présent, les mesures de diffusion latérale ont généralement été réalisées à faible densité de protéines, et l'effet de l'encombrement des i
APA, Harvard, Vancouver, ISO, and other styles
15

Walljee, Raabia. "The Levy-LIBOR model with default risk." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96957.

Full text
Abstract:
Thesis (MSc)--Stellenbosch University, 2015<br>ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide more flexibility and also capture more of the ’real world’ dynamics of the model. Hence the use of Lévy processes for financial modelling is a motivating factor behind this research presentation. As a starting point a framework for the LIBOR market model with dynamics driven by a Lévy process instead of the classical Brownian
APA, Harvard, Vancouver, ISO, and other styles
16

Arikan, Ali Ferda. "Structural models for the pricing of corporate securities and financial synergies : applications with stochastic processes including arithmetic Brownian motion." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/5416.

Full text
Abstract:
Mergers are the combining of two or more firms to create synergies. These synergies may come from various sources such as operational synergies come from economies of scale or financial synergies come from increased value of securities of the firm. There are vast amount of studies analysing operational synergies of mergers. This study analyses the financial ones. This way the dynamics of purely financial synergies can be revealed. Purely financial synergies can be transformed into financial instruments such as securitization. While analysing financial synergies the puzzle of distribution of fi
APA, Harvard, Vancouver, ISO, and other styles
17

Arikan, Ali F. "Structural models for the pricing of corporate securities and financial synergies. Applications with stochastic processes including arithmetic Brownian motion." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/5416.

Full text
Abstract:
Mergers are the combining of two or more firms to create synergies. These synergies may come from various sources such as operational synergies come from economies of scale or financial synergies come from increased value of securities of the firm. There are vast amount of studies analysing operational synergies of mergers. This study analyses the financial ones. This way the dynamics of purely financial synergies can be revealed. Purely financial synergies can be transformed into financial instruments such as securitization. While analysing financial synergies the puzzle of distributio
APA, Harvard, Vancouver, ISO, and other styles
18

Doshi, Ankit. "Seasonal volatility models with applications in option pricing." Gowas Publishing House, 2011. http://hdl.handle.net/1993/8889.

Full text
Abstract:
GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized ARCH (GARCH) model. Lately, there has been growing interest in modelling seasonal volatility, most recently with the introduction of the multiplicative seasonal GARCH models. As an application of the multiplicative seasonal GARCH model with real data, call prices from the major stock market index of India are calculated using estimated parameter values. It is shown that a multiplicative seasonal GARCH option pricing model outperforms the Black-
APA, Harvard, Vancouver, ISO, and other styles
19

Wu, Ching-Tang. "Construction of Brownian Motions in Enlarged Filtrations and Their Role in Mathematical Models of Insider Trading." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 1999. http://dx.doi.org/10.18452/14364.

Full text
Abstract:
In dieser Arbeit untersuchen wir die Struktur von Gausschen Prozessen, die durch gewisse lineare Transformationen von zwei Gausschen Martingalen erzeugt werden. Die Klasse dieser Transformationen ist durch nanzmathematische Gleichgewichtsmodelle mit heterogener Information motiviert. In Kapital 2 bestimmen wir für solche Prozesse, die zunächst in einer erweiterten Filtrierung konstruiert werden, die kanonische Zerlegung als Semimartin-gale in ihrer eigenen Filtrierung. Die resultierende Drift wird durch Volterra-Kerne beschrieben. Insbesondere charakterisieren wir diejenigen Prozesse, die
APA, Harvard, Vancouver, ISO, and other styles
20

Littin, Curinao Jorge Andrés. "Quasi stationary distributions when infinity is an entrance boundary : optimal conditions for phase transition in one dimensional Ising model by Peierls argument and its consequences." Thesis, Aix-Marseille, 2013. http://www.theses.fr/2013AIXM4789/document.

Full text
Abstract:
Cette thèse comporte deux chapitres principaux. Deux problèmes indépendants de Modélisation Mathématique y sont étudiés. Au chapitre 1, on étudiera le problème de l’existence et de l’unicité des distributions quasi-stationnaires (DQS) pour un mouvement Brownien avec dérive, tué en zéro dans le cas où la frontière d’entrée est l’infini et la frontière de sortie est zéro selon la classification de Feller.Ce travail est lié à l’article pionnier dans ce sujet par Cattiaux, Collet, Lambert, Martínez, Méléard, San Martín; où certaines conditions suffisantes ont été établies pour prouver l’existence
APA, Harvard, Vancouver, ISO, and other styles
21

Antczak, Magdalena, and Marta Leniec. "Pricing and Hedging of Defaultable Models." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052.

Full text
Abstract:
Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.
APA, Harvard, Vancouver, ISO, and other styles
22

Ghorbanzadeh, Dariush. "Détection de rupture dans les modèles statistiques." Paris 7, 1992. http://www.theses.fr/1992PA077246.

Full text
Abstract:
Ce travail concerne l'etude d'une classe de tests de detection de rupture dans les modeles statistiques. La classe de tests consideree est basee sur le test du rapport de vraisemblance. Dans le cadre de la contiguite au sens de lecam, sous l'hypothese nulle (non rupture) et sous l'hypothese alternative (rupture), les lois asymptotiques des statistiques de tests sont evaluees, ce qui permet de determiner asymptotiquement les regions critiques des tests. Les expressions analytiques des puissances asymptotiques sont proposees. En utilisant les techniques de l'analyse discriminante, le probleme de
APA, Harvard, Vancouver, ISO, and other styles
23

Casse, Jérôme. "Automates cellulaires probabilistes et processus itérés ad libitum." Thesis, Bordeaux, 2015. http://www.theses.fr/2015BORD0248/document.

Full text
Abstract:
La première partie de cette thèse porte sur les automates cellulaires probabilistes (ACP) sur la ligne et à deux voisins. Pour un ACP donné, nous cherchons l'ensemble de ces lois invariantes. Pour des raisons expliquées en détail dans la thèse, ceci est à l'heure actuelle inenvisageable de toutes les obtenir et nous nous concentrons, dans cette thèse, surles lois invariantes markoviennes. Nous établissons, tout d'abord, un théorème de nature algébrique qui donne des conditions nécessaires et suffisantes pour qu'un ACP admette une ou plusieurs lois invariantes markoviennes dans le cas où l'alph
APA, Harvard, Vancouver, ISO, and other styles
24

Pain, Michel. "Mouvement brownien branchant et autres modèles hiérarchiques en physique statistique." Thesis, Sorbonne université, 2019. http://www.theses.fr/2019SORUS305.

Full text
Abstract:
Le mouvement brownien branchant (BBM) est un système de particules se déplaçant et se reproduisant aléatoirement. En premier lieu, nous étudions avec précision la transition de phase qui a lieu au sein de ce système de particules près de son minimum, en se plaçant dans le cas dit presque-critique. Ensuite, nous décrivons les fluctuations 1-stable universelles qui apparaissent dans le front du BBM, ainsi que le comportement typique des particules qui y contribuent. Une version du BBM avec sélection est également étudiée, où les particules sont tuées quand elles descendent à une distance L de la
APA, Harvard, Vancouver, ISO, and other styles
25

Coulon, Jérôme. "Mémoire longue, volatilité et gestion de portefeuille." Phd thesis, Université Claude Bernard - Lyon I, 2009. http://tel.archives-ouvertes.fr/tel-00657711.

Full text
Abstract:
Cette thèse porte sur l'étude de la mémoire longue de la volatilité des rendements d'actions. Dans une première partie, nous apportons une interprétation de la mémoire longue en termes de comportement d'agents grâce à un modèle de volatilité à mémoire longue dont les paramètres sont reliés aux comportements hétérogènes des agents pouvant être rationnels ou à rationalité limitée. Nous déterminons de manière théorique les conditions nécessaires à l'obtention de mémoire longue. Puis nous calibrons notre modèle à partir des séries de volatilité réalisée journalière d'actions américaines de moyenne
APA, Harvard, Vancouver, ISO, and other styles
26

Manzini, Muzi Charles. "Stochastic Volatility Models for Contingent Claim Pricing and Hedging." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_8197_1270517076.

Full text
Abstract:
<p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo<br>smile&rdquo<br>curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in wh
APA, Harvard, Vancouver, ISO, and other styles
27

Rings, Daniel. "Hot Brownian Motion." Doctoral thesis, Universitätsbibliothek Leipzig, 2013. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-102186.

Full text
Abstract:
The theory of Brownian motion is a cornerstone of modern physics. In this thesis, we introduce a nonequilibrium extension to this theory, namely an effective Markovian theory of the Brownian motion of a heated nanoparticle. This phenomenon belongs to the class of nonequilibrium steady states (NESS) and is characterized by spatially inhomogeneous temperature and viscosity fields extending in the solvent surrounding the nanoparticle. The first chapter provides a pedagogic introduction to the subject and a concise summary of our main results and summarizes their implications for future developmen
APA, Harvard, Vancouver, ISO, and other styles
28

Rings, Daniel, Romy Radünz, Frank Cichos, and Klaus Kroy. "Hot brownian motion." Universitätsbibliothek Leipzig, 2015. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-190908.

Full text
APA, Harvard, Vancouver, ISO, and other styles
29

Rings, Daniel, Romy Radünz, Frank Cichos, and Klaus Kroy. "Hot brownian motion." Diffusion fundamentals 11 (2009) 75, S. 1-2, 2009. https://ul.qucosa.de/id/qucosa%3A14040.

Full text
APA, Harvard, Vancouver, ISO, and other styles
30

Trefán, György. "Deterministic Brownian Motion." Thesis, University of North Texas, 1993. https://digital.library.unt.edu/ark:/67531/metadc279262/.

Full text
Abstract:
The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscpoic derivation of the Fokker-Planck equation. Since the Brownian motion of a particle is the result of the competing processes of diffusion and dissipation, we create a model where both diffusion and dissipation originate from the same deterministic mechanism - the deterministic interaction of that particle with its environment. We show that standard diffusion which is the basis of the Fokker-P
APA, Harvard, Vancouver, ISO, and other styles
31

Hobson, Tim. "Slowly-coalescing Brownian motion." Thesis, University of Warwick, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.487910.

Full text
Abstract:
An interacting particle system is constructed in which a collection of independent Brownian motions are subject to the rule that each pair of particles shall coalesce at a rate given formally by ). dLt , where {Lt : t ~ O} is the intersection local time of the pair. This interaction mechanism is referred to as slowly-coalescing, in contrast to the more standard model in which particles coalesce immediately on collision. The process is shown to be the weak limit of a sequence of coalescing symmeteric random walks on the lattice n-1Z. Our indirect argument exploits the existence of a dual Markov
APA, Harvard, Vancouver, ISO, and other styles
32

Allez, Romain. "Chaos multiplicatif Gaussien, matrices aléatoires et applications." Phd thesis, Université Paris Dauphine - Paris IX, 2012. http://tel.archives-ouvertes.fr/tel-00780270.

Full text
Abstract:
Dans ce travail, nous nous sommes intéressés d'une part à la théorie du chaos multiplicatif Gaussien introduite par Kahane en 1985 et d'autre part à la théorie des matrices aléatoires dont les pionniers sont Wigner, Wishart et Dyson. La première partie de ce manuscrit contient une brève introduction à ces deux théories ainsi que les contributions personnelles de ce manuscrit expliquées rapidement. Les parties suivantes contiennent les textes des articles publiés [1], [2], [3], [4], [5] et pré-publiés [6], [7], [8] sur ces résultats dans lesquels le lecteur pourra trouver des développements plu
APA, Harvard, Vancouver, ISO, and other styles
33

Menes, Matheus Dorival Leonardo Bombonato. "Versão discreta do modelo de elasticidade constante da variância." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-16042013-151325/.

Full text
Abstract:
Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções<br>In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing
APA, Harvard, Vancouver, ISO, and other styles
34

Mather, William Hardeman. "Rectified Brownian Motion in Biology." Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/16244.

Full text
Abstract:
Nanoscale biological systems operate in the presence of overwhelming viscous drag and thermal diffusion, thus invalidating the use of macroscopically oriented thinking to explain such systems. Rectified Brownian motion (RBM), in contrast, is a distinctly nanoscale approach that thrives in thermal environments. The thesis discusses both the foundations and applications of RBM, with an emphasis on nano-biology. Results from stochastic non-equilibrium steady state theory are used to motivate a compelling definition for RBM. It follows that RBM is distinct from both the so-called power stroke
APA, Harvard, Vancouver, ISO, and other styles
35

Neves, Susana de Matos. "Fractional Brownian Motion in Finance." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10326.

Full text
Abstract:
Mestrado em Matemática Financeira<br>Algumas das propriedades estatísticas dos dados financeiros são comuns a uma ampla variedade de mercados: a propriedade de memória longa, as caudas pesadas, assimetria (ganho / perda de assimetria), saltos, agrupamento de volatilidade, etc. A necessidade de procurar novos modelos de produtos financeiros tem aumentado nas últimas décadas devido à incapacidade dos actuais modelos explicarem algumas dessas propriedades estatísticas. Este trabalho tem como objetivo dar uma visão geral de alguns estudos que foram feitos relativamente à aplicação às finanças do m
APA, Harvard, Vancouver, ISO, and other styles
36

Inkaya, Alper. "Option Pricing With Fractional Brownian Motion." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613736/index.pdf.

Full text
Abstract:
Traditional financial modeling is based on semimartingale processes with stationary and independent increments. However, empirical investigations on financial data does not always support these assumptions. This contradiction showed that there is a need for new stochastic models. Fractional Brownian motion (fBm) was proposed as one of these models by Benoit Mandelbrot. FBm is the only continuous Gaussian process with dependent increments. Correlation between increments of a fBm changes according to its self-similarity parameter H. This property of fBm helps to capture the correlation dynamics
APA, Harvard, Vancouver, ISO, and other styles
37

Howitt, Christopher John. "Stochastic flows and sticky Brownian motion." Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/56226/.

Full text
Abstract:
Sticky Brownian motion is a one-dimensional diffusion with the property that the amount of time the process spends at zero is of positive Lebesgue measure and yet the process does not stay at zero for any positive interval of time. Sticky Brownian motion can be considered as qualitatively between standard Brownian motion and Brownian motion absorbed at zero. A system of coalescing Brownian motions is a collection of paths, where each path behaves as a Brownian motion independent of all other paths until the first time two paths meet, at which point the two paths that have just met behave is a
APA, Harvard, Vancouver, ISO, and other styles
38

Bechinger, Clemens. "Active Brownian motion of asymmetric particles." Universitätsbibliothek Leipzig, 2015. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-179545.

Full text
APA, Harvard, Vancouver, ISO, and other styles
39

Grebenkov, Denis S. "Residence times of reflected brownian motion." Universitätsbibliothek Leipzig, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-193387.

Full text
APA, Harvard, Vancouver, ISO, and other styles
40

Lessa, Pablo. "Brownian motion on stationary random manifolds." Phd thesis, Université Pierre et Marie Curie - Paris VI, 2014. http://tel.archives-ouvertes.fr/tel-00959923.

Full text
Abstract:
On introduit le concept d'une variété aléatoire stationnaire avec l'objectif de traiter de façon unifiée les résultats sur les variétés avec un group d'isométries transitif, les variétés avec quotient compact, et les feuilles génériques d'un feuilletage compact. On démontre des inégalités entre la vitesse de fuite, l'entropie du mouvement brownien et la croissance de volume de la variété aléatoire, en généralisant des résultats d'Avez, Kaimanovich, et Ledrappier. Dans la deuxième partie on démontre que la fonction feuille d'un feuilletage compact est semicontinue, en obtenant comme conséquence
APA, Harvard, Vancouver, ISO, and other styles
41

Dunkel, Jörn. "Relativistic Brownian motion and diffusion processes." kostenfrei, 2008. http://d-nb.info/991318757/34.

Full text
APA, Harvard, Vancouver, ISO, and other styles
42

Jehring, Kristin Elizabeth. "Harmonic functions on Walsh's Brownian motion." Diss., [La Jolla] : University of California, San Diego, 2009. http://wwwlib.umi.com/cr/ucsd/fullcit?p3355766.

Full text
Abstract:
Thesis (Ph. D.)--University of California, San Diego, 2009.<br>Title from first page of PDF file (viewed June 25, 2009). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 82-83).
APA, Harvard, Vancouver, ISO, and other styles
43

Grebenkov, Denis S. "Residence times of reflected brownian motion." Diffusion fundamentals 6 (2007) 21, S. 1-2, 2007. https://ul.qucosa.de/id/qucosa%3A14195.

Full text
APA, Harvard, Vancouver, ISO, and other styles
44

Bechinger, Clemens. "Active Brownian motion of asymmetric particles." Diffusion fundamentals 20 (2013) 16, S. 1, 2013. https://ul.qucosa.de/id/qucosa%3A13540.

Full text
APA, Harvard, Vancouver, ISO, and other styles
45

Lampo, Aniello, Soon Hoe Lim, Jan Wehr, Pietro Massignan, and Maciej Lewenstein. "Lindblad model of quantum Brownian motion." AMER PHYSICAL SOC, 2016. http://hdl.handle.net/10150/622483.

Full text
Abstract:
The theory of quantum Brownian motion describes the properties of a large class of open quantum systems. Nonetheless, its description in terms of a Born-Markov master equation, widely used in the literature, is known to violate the positivity of the density operator at very low temperatures. We study an extension of existing models, leading to an equation in the Lindblad form, which is free of this problem. We study the dynamics of the model, including the detailed properties of its stationary solution, for both constant and position-dependent coupling of the Brownian particle to the bath, foc
APA, Harvard, Vancouver, ISO, and other styles
46

Lange, Rutger-Jan. "Brownian motion and multidimensional decision making." Thesis, University of Cambridge, 2012. https://www.repository.cam.ac.uk/handle/1810/243402.

Full text
Abstract:
This thesis consists of three self-contained parts, each with its own abstract, body, references and page numbering. Part I, 'Potential theory, path integrals and the Laplacian of the indicator', finds the transition density of absorbed or reflected Brownian motion in a d-dimensional domain as a Feynman-Kac functional involving the Laplacian of the indicator, thereby relating the hitherto unrelated fields of classical potential theory and path integrals. Part II, 'The problem of alternatives', considers parallel investment in alternative technologies or drugs developed over time, where there c
APA, Harvard, Vancouver, ISO, and other styles
47

Mota, Pedro José dos Santos Palhinhas. "Brownian motion with drift threshold model." Doctoral thesis, FCT - UNL, 2008. http://hdl.handle.net/10362/1766.

Full text
Abstract:
In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with
APA, Harvard, Vancouver, ISO, and other styles
48

Fauth, Alexis. "Contributions à la modélisation des données financières à hautes fréquences." Thesis, Paris 1, 2014. http://www.theses.fr/2014PA010019.

Full text
Abstract:
Cette thèse a été réalisée au sein de l’entreprise Invivoo. L’objectif principal était de trouver des stratégies d’investissement : avoir un gain important et un risque faible. Les travaux de recherche ont été principalement portés par ce dernier point. Dans ce sens, nous avons voulu généraliser un modèle fidèle à la réalité des marchés financiers, que ce soit pour des données à basse comme à haute fréquence et, à très haute fréquence, variation par variation<br>No English summary available
APA, Harvard, Vancouver, ISO, and other styles
49

Bruna, Maria. "Excluded-volume effects in stochastic models of diffusion." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:020c2d3e-5fef-478c-9861-553cd310daf5.

Full text
Abstract:
Stochastic models describing how interacting individuals give rise to collective behaviour have become a widely used tool across disciplines—ranging from biology to physics to social sciences. Continuum population-level models based on partial differential equations for the population density can be a very useful tool (when, for large systems, particle-based models become computationally intractable), but the challenge is to predict the correct macroscopic description of the key attributes at the particle level (such as interactions between individuals and evolution rules). In this thesis we c
APA, Harvard, Vancouver, ISO, and other styles
50

Serrano, Francisco de Castilho Monteiro Gil. "Fractional processes: an application to finance." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13002.

Full text
Abstract:
Mestrado em Matemática Financeira<br>Neste trabalho é apresentada uma extensa descrição matemática, orientada para a modelação financeira, de três principais processos fracionários: o processo Browniano fracionário e os dois processos de Lévy fracionários. Mostram-se como estes processos podem ser originados. É explorado o conceito de auto-semelhança e apresentamos algumas noções de cálculo fracionário. Também é discutido o lugar destes processos no problema de encontrar o preço de derivados financeiros e apresentamos uma nova abordagem para a simulação do processo de Lévy fracionário que perm
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the bibliographies on the topic 'Modèle de Brownian Motion' for other source types:
Journal articles Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography