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Tesis sobre el tema "Ornstein-Uhlenbeck process"

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Publicado: 4 de junio de 2021

Última modificación: 25 de julio de 2025

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1

Zhou, Sen Lin. "Geometric Asian option: Geometric Ornstein-Uhlenbeck process." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/22062.

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Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the average property of the Asian options makes it very difficult to manipulate the payoffs of the options. Another reason for the popularity of Asian options is that they are cheaper than the corresponding portfolio of standard options to hedge the same exposure. The pricing of Asian options has been the

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2

Abdelrazeq, Ibrahim. "Statistical Inference for Lévy-Driven Ornstein-Uhlenbeck Processes." Thesis, Université d'Ottawa / University of Ottawa, 2014. http://hdl.handle.net/10393/31551.

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When an Ornstein-Uhlenbeck (or CAR(1)) process is observed at discrete times 0, h, 2h,··· [T/h]h, the unobserved driving process can be approximated from the ob- served process. Approximated increments of the driving process are used to test the assumption that the process is L\'evy-driven. Asymptotic behavior of the test statis- tic at high sampling frequencies is developed assuming that the model parameters are known. The behavior of the test statistics using an estimated parameter is also studied. If it can be concluded that the driving process is L\'evy, the empirical process of the approx

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3

Krämer, Romy, and Matthias Richter. "A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets." Universitätsbibliothek Chemnitz, 2008. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572.

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In this paper, we study mathematical properties of a generalized bivariate Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and Wang, this model possesses a stochastic drift term which influences the statistical properties of the asset in the real (observable) world. Furthermore, we generali- ze the model with respect to a time-dependent (but still non-random) volatility function. Although it is well-known, that drift terms - under weak regularity conditions - do not affect the behaviour of the asset in the risk-neutral world and consequently the Black-Scholes option

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4

Erich, Roger Alan. "Regression Modeling of Time to Event Data Using the Ornstein-Uhlenbeck Process." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1342796812.

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5

Morlanes, José Igor. "Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications." Doctoral thesis, Stockholms universitet, Statistiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-147437.

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This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion. New results obtained by the author are presented in five articles. These are divided into two parts. The first part involves three articles on statistical inference and simulation of a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck process of the second kind

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6

Deng, Yingjun. "Degradation modeling based on a time-dependent Ornstein-Uhlenbeck process and prognosis of system failures." Thesis, Troyes, 2015. http://www.theses.fr/2015TROY0004/document.

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Cette thèse est consacrée à la description, la prédiction et la prévention des défaillances de systèmes. Elle se compose de quatre parties relatives à la modélisation stochastique de dégradation, au pronostic de défaillance du système, à l'estimation du niveau de défaillance et à l'optimisation de maintenance.Le processus d'Ornstein-Uhlenbeck (OU) dépendant du temps est introduit dans un objectif de modélisation des dégradations. Sur la base de ce processus, le premier instant de passage d’un niveau de défaillance prédéfini est considéré comme l’instant de défaillance du système considéré. Dif

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7

Jiang, Liqiu. "THE SIMULATION AND APPROXIMATION OF THE FIRST PASSAGE TIME OF THE ORNSTEIN--UHLENBECK PROCESS OF NEURON." NCSU, 2002. http://www.lib.ncsu.edu/theses/available/etd-04232002-224527/.

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Neurons communicate with each other via sequences of action potentials. The purpose of this study is to approximate the interval between action potentials which is also called the First Passage Time (FPT), the first time the membrane voltage passes a threshold. The subthreshold depolarization of a neuron receiving a multitude of random synaptic inputs has often been modelled as the Ornstein--Uhlenbeck (OU) process. This model provides an analytically tractable formalism of neuronal membrane voltage mean and variance in terms of a neuron's membrane time constant and the mean of input voltage. S

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8

Ющенко, Ольга Володимирівна, Ольга Владимировна Ющенко, Olha Volodymyrivna Yushchenko, Анна Юріївна Бадалян, Анна Юрьевна Бадалян, and Anna Yuriivna Badalian. "The Investigation of the External Influence on the Motion Regimes of Nanoparticles." Thesis, Sumy State University, 2012. http://essuir.sumdu.edu.ua/handle/123456789/34961.

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On the basis of self-consistent Lorenz system, taking into account the dispersion of the characteristic time of the average velocity variation the motion regimes of nanoparticles were investigated within the rigid mechanism of the self-organization. The influence of the environment was taken into account by means of a stochastic source in the equation describing the evolution of the control parameter. As a result, the Fokker-Planck equation has been obtained and has been solved in the steady state, the phase diagram of the system and the dependence of the average velocity of nanoparticles

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9

Aquino, Juan Carlos, and Gabriel Rodríguez. "Understanding the Functional Central Limit Theorems with Some Applications to Unit Root Testing with Structural Change." Economía, 2013. http://repositorio.pucp.edu.pe/index/handle/123456789/117824.

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The application of different unit root statistics is by now a standard practice in empirical work. Even when it is a practical issue, these statistics have complex nonstandard distributions depending on functionals of certain stochastic processes, and their derivations represent a barrier even for many theoretical econometricians. These derivations are based on rigorous and fundamental statistical tools which are not (very) well known by standard econometricians. This paper aims to fill this gap by explaining in a simple way one of these fundamental tools: namely, the Functional Central Limit

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10

Gay, Laura. "Processus d'Ornstein-Uhlenbeck et son supremum : quelques résultats théoriques et application au risque climatique." Thesis, Lyon, 2019. http://www.theses.fr/2019LYSEC025/document.

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Prévoir et estimer le risque de canicule est un enjeu politique majeur. Évaluer la probabilité d'apparition des canicules et leurs sévérités serait possible en connaissant la température en temps continu. Cependant, les extrêmes journaliers (maxima et minima) sont parfois les seules données disponibles. Pour modéliser la dynamique des températures, il est courant d'utiliser un processus d'Ornstein-Uhlenbeck. Une estimation des paramètres de ce processus n'utilisant que les suprema journaliers observés est proposée. Cette nouvelle approche se base sur une minimisation des moindres carrés faisan

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11

Böjeryd, Jesper. "Long Time Integration of Molecular Dynamics at Constant Temperature with the Symplectic Euler Method." Thesis, KTH, Numerisk analys, NA, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-165324.

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Simulations of particle systems at constant temperature may be used to estimate several of the system’s physical properties, and some require integration over very long time to be accurate. To achieve sufficient accuracy in finite time the choice of numerical scheme is important and we suggest to use the symplectic Euler method combined with a step in an Ornstein-Uhlenbeck process. This scheme is computationally very cheap and is often used in applications of molecular dynamics. This thesis strives to motivate the usage of the scheme due to the lack of theoretical results and comparisons to al

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12

Nhangumbe, Clarinda Vitorino. "Lie Analysis for Partial Differential Equations in Finance." Master's thesis, Faculty of Science, 2019. https://hdl.handle.net/11427/31817.

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Weather derivatives are financial tools used to manage the risks related to changes in the weather and are priced considering weather variables such as rainfall, temperature, humidity and wind as the underlying asset. Some recent researches suggest to model the amount of rainfall by considering the mean reverting processes. As an example, the Ornstein Uhlenbeck process was proposed by Allen [3] to model yearly rainfall and by Unami et al. [52] to model the irregularity of rainfall intensity as well as duration of dry spells. By using the Feynman-Kac theorem and the rainfall indexes we derive t

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13

Casiano, Victor Alejandro Rosa. "Case for a closer look at migration : analysis of the puerto rican experience." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20824.

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Mestrado em Actuarial Science<br>Neste trabalho é feito o estudo da migração em Porto-Rico, tanto no curto como no longo, usando a análise de séries temporais e o processo estocástico de Ornstein Uhlenbeck. Os resultados mostram que, de acordo com a literatura, a migração é uma variável muito difícil de modelar. Apesar dessa dificuldade, mostra-se que a migração é uma variável que tem um impacto de longo prazo na economia, na demografia e na actividade seguradora de Porto-Rico. No final é dado um exemplo numérico com aplicações na actividade seguradora. São também apresentadas conclusões e per

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14

Erfaneh, Sharifi. "Stochastic Modeling of Hydrological Events for Better Water Management." Kyoto University, 2016. http://hdl.handle.net/2433/217181.

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Kyoto University (京都大学)<br>0048<br>新制・課程博士<br>博士(農学)<br>甲第20006号<br>農博第2190号<br>新制||農||1045(附属図書館)<br>学位論文||H28||N5015(農学部図書室)<br>33102<br>京都大学大学院農学研究科地域環境科学専攻<br>(主査)教授藤原正幸, 教授村上章, 准教授宇波耕一<br>学位規則第4条第1項該当

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15

Siu, Daniel. "Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation." Scholar Commons, 2012. http://scholarcommons.usf.edu/etd/4405.

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Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of applications, stochastic hybrid dynamic systems have been employed to diverse fields of studies, such as communication networks, air traffic management, and insurance risk models. The aim of the present study is to investigate properties of some classes of stochastic hybrid dynamic systems. The class of stochastic hybrid dynamic systems investigated has random jumps driven by a non-homogeneous Poisson process and deterministic jumps trig

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16

Mai, Hilmar. "Drift estimation for jump diffusions." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2012. http://dx.doi.org/10.18452/16590.

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Das Ziel dieser Arbeit ist die Entwicklung eines effizienten parametrischen Schätzverfahrens für den Drift einer durch einen Lévy-Prozess getriebenen Sprungdiffusion. Zunächst werden zeit-stetige Beobachtungen angenommen und auf dieser Basis eine Likelihoodtheorie entwickelt. Dieser Schritt umfasst die Frage nach lokaler Äquivalenz der zu verschiedenen Parametern auf dem Pfadraum induzierten Maße. Wir diskutieren in dieser Arbeit Schätzer für Prozesse vom Ornstein-Uhlenbeck-Typ, Cox-Ingersoll-Ross Prozesse und Lösungen linearer stochastischer Differentialgleichungen mit Gedächtnis im Detail un

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17

Thompson, Katherine L. "Using ancestral information to search for quantitative trait loci in genome-wide association studies." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1372410951.

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18

Corey, Sarah J. "Understanding Amphibian Vulnerability to Extinction: A Phylogenetic and Spatial Approach." The Ohio State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=osu1244036842.

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19

Schwalbe, Karsten. "Stochastic Fluctuations in Endoreversible Systems." Doctoral thesis, Universitätsbibliothek Chemnitz, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-219268.

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In dieser Arbeit wird erstmalig der Einfluss stochastischer Schwankungen auf endoreversible Modelle untersucht. Hierfür wird die Novikov-Maschine mit drei verschieden Wärmetransportgesetzen (Newton, Fourier, asymmetrisch) betrachtet. Während die maximale verrichtete Arbeit und der dazugehörige Wirkungsgrad recht einfach im Falle konstanter Wärmebadtemperaturen hergeleitet werden können, ändern sich dies, falls die Temperaturen stochastisch fluktuieren können. Im letzteren Fall muss die stochastische optimale Kontrolltheorie genutzt werden, um das Maximum der zu erwartenden Arbeit und die dazug

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20

Al-Talibi, Haidar. "Nelson-type Limits for α-Stable Lévy Processes". Licentiate thesis, Linnaeus University, School of Computer Science, Physics and Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-7043.

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<p>Brownian motion has met growing interest in mathematics, physics and particularly in finance since it was introduced in the beginning of the twentieth century. Stochastic processes generalizing Brownian motion have influenced many research fields theoretically and practically. Moreover, along with more refined techniques in measure theory and functional analysis more stochastic processes were constructed and studied. Lévy processes, with Brownian motionas a special case, have been of major interest in the recent decades. In addition, Lévy processes include a number of other important proces

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21

Grobler, Trienko Lups. "Sequential and non-sequential hypertemporal classification and change detection of Modis time-series." Thesis, University of Pretoria, 2012. http://hdl.handle.net/2263/25427.

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Satellites provide humanity with data to infer properties of the earth that were impossible a century ago. Humanity can now easily monitor the amount of ice found on the polar caps, the size of forests and deserts, the earth’s atmosphere, the seasonal variation on land and in the oceans and the surface temperature of the earth. In this thesis, new hypertemporal techniques are proposed for the settlement detection problem in South Africa. The hypertemporal techniques are applied to study areas in the Gauteng and Limpopo provinces of South Africa. To be more specific, new sequential (windowless)

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22

Петранова, Марина Юрiївна. "Випадковi гауссовi процеси зi стiйкими кореляцiйними функцiями". Doctoral thesis, Київ, 2021. https://ela.kpi.ua/handle/123456789/40592.

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Робота виконана на кафедрi прикладної математики Донецького нацiонального унiверситету iменi Василя Стуса Мiнiстерства освiти i науки України<br>иссертационная работа посвящена изучению случайных гауссо вых процессов с устойчивыми корреляционными функциями и их свойств.

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23

Fonseca, Regina Célia Bueno. "Generalização do processo de Ornstein-Uhlenbeck pelo teorema de Doob e a evolução temporal em séries financeiras." reponame:Repositório Institucional da UnB, 2012. http://repositorio.unb.br/handle/10482/12289.

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Tese (doutorado)—Universidade de Brasília, Instituto de Física, 2012.<br>Submitted by Albânia Cézar de Melo (albania@bce.unb.br) on 2013-01-25T14:27:45Z No. of bitstreams: 1 2012_ReginaCeliaBuenoFonseca.pdf: 3069024 bytes, checksum: 9d0578691efea1b3ce2d08f432b428c2 (MD5)<br>Approved for entry into archive by Luanna Maia(luanna@bce.unb.br) on 2013-03-01T12:42:53Z (GMT) No. of bitstreams: 1 2012_ReginaCeliaBuenoFonseca.pdf: 3069024 bytes, checksum: 9d0578691efea1b3ce2d08f432b428c2 (MD5)<br>Made available in DSpace on 2013-03-01T12:42:53Z (GMT). No. of bitstreams: 1 2012_ReginaCeliaBuenoFonseca.p

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24

IBRAGIMOV, ANTON. "G - Expectations in infinite dimensional spaces and related PDES." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/44738.

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In this thesis, we extend the G-expectation theory to infinite dimensions. Such notions as a covariation set of G-normal distributed random variables, viscosity solution, a stochastic integral drive by G-Brownian motion are introduced and described in the given infinite dimensional case. We also give a probabilistic representation of the unique viscosity solution to the fully nonlinear parabolic PDE with unbounded first order term in Hilbert space in terms of G-expectation theory.

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25

Bordet, Maxime. "Contribution du bruit aux phénomènes de résonance et à la propagation de l'information dans les réseaux électroniques non linéaires." Thesis, Dijon, 2015. http://www.theses.fr/2015DIJOS051/document.

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Les possibles effets bénéfiques de perturbations déterministes ou stochastiques sur la réponse de différents systèmes non linéaires sont étudiés. À cet effet, des études numériques et expérimentales sont conjointement proposées sur deux structures distinctes : un oscillateur électronique de type FitzHugh-Nagumo et une ligne électrique constituée de 45 de ces oscillateurs couplés résistivement. La caractérisation de l’oscillateur élémentaire est d’abord réalisée en régime déterministe. En présence d’une excitation bichromatique, il est notamment montré que lorsque la composante de fréquence la

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26

Proïa, Frédéric. "Autocorrélation et stationnarité dans le processus autorégressif." Phd thesis, Université Sciences et Technologies - Bordeaux I, 2013. http://tel.archives-ouvertes.fr/tel-00903542.

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Cette thèse est dévolue à l'étude de certaines propriétés asymptotiques du processus autorégressif d'ordre p. Ce dernier qualifie communément une suite aléatoire $(Y_{n})$ définie sur $\dN$ ou $\dZ$ et entièrement décrite par une combinaison linéaire de ses $p$ valeurs passées, perturbée par un bruit blanc $(\veps_{n})$. Tout au long de ce mémoire, nous traitons deux problématiques majeures de l'étude de tels processus : l'\textit{autocorrélation résiduelle} et la \textit{stationnarité}. Nous proposons en guise d'introduction un survol nécessaire des propriétés usuelles du processus autorégres

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27

BIGNAMINI, DAVIDE AUGUSTO. "Semigruppi di transizione associati a equazioni stocastiche non lineari." Doctoral thesis, Università degli studi di Modena e Reggio Emilia, 2022. http://hdl.handle.net/11380/1266027.

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L’argomento principale di questa tesi è lo studio di semigruppi di transizione di una classe di equazioni differenziali stocastiche non lineari in spazi di Hilbert separabili e di dimensione finita. Più precisamente consideriamo semigruppi di transizione associati alla soluzione mild generalizzata di equazioni di Kolmogorov stocastiche con dato inziale in uno spazio di Hilbert H separabile di dimensione infinita e con drift perturbato da una funzione non lineare definita su un sottoinsieme aperto di H. La teoria dei semigruppi di transizione associati a queste equazioni differenziali stocastic

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28

Marshall, Jean-Pierre. "Stochastic volatility modeling of the Ornstein Uhlenbeck type : pricing and calibration." Thesis, 2010. http://hdl.handle.net/10210/3033.

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29

Bankovsky, Damien John. "Ruin probabilities for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds." Phd thesis, 2009. http://hdl.handle.net/1885/150027.

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30

Cheng, Chi-Hung, and 鄭啟宏. "Option pricing when the underlying asset price process follows ornstein-uhlenbeck position process:implication in price limit constraints." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/38324313644857731849.

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碩士<br>國立政治大學<br>金融研究所<br>91<br>In this thesis, we extend the approach of Goldenberg (1986) to consider Ornstein-Uhlenbeck position process as an alternative to Geometric Brownian Motion in modeling the underlying asset prices, and construct the option pricing model with this process. Goldenberg (1986) argued that Ornstein-Uhlenbeck position process is more consistent with the observed future prices in imperfect markets, and it could express the correlation of stock prices. Our model is an alternative option pricing model in imperfect market. We also investigate the behavior of stock prices in

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31

Pacák, Daniel. "Odhad parametru ve stochastických diferenciálních rovnicích." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-434533.

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In the Thesis the problem of estimating an unknown parameter in a stochastic dif- ferential equation is studied. Linear equations with Volterra process as the source of noise are considered. Firstly, the properties of Volterra processes and the properties of stochastic integral with respect to a Volterra process are presented. Secondly, the prop- erties of the solution to the equation under consideration are discussed. This includes the existence of the strictly stationary solution, the properties of such solution and ergodic results. These results are then generalized to equations with a mixe

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32

Waczulík, Oliver. "Stochastické modely ve finanční matematice." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-346757.

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Title: Stochastic Models in Financial Mathematics Author: Bc. Oliver Waczulík Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathe- matical Statistics Abstract: This thesis looks into the problems of ordinary stochastic models used in financial mathematics, which are often influenced by unrealistic assumptions of Brownian motion. The thesis deals with and suggests more sophisticated alternatives to Brownian motion models. By applying the fractional Brownian motion we derive a modification of the Black-Schol

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33

Wang, Zheng. "Optimal Stopping and Switching Problems with Financial Applications." Thesis, 2016. https://doi.org/10.7916/D8VQ330D.

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This dissertation studies a collection of problems on trading assets and derivatives over finite and infinite horizons. In the first part, we analyze an optimal switching problem with transaction costs that involves an infinite sequence of trades. The investor's value functions and optimal timing strategies are derived when prices are driven by an exponential Ornstein-Uhlenbeck (XOU) or Cox-Ingersoll-Ross (CIR) process. We compare the findings to the results from the associated optimal double stopping problems and identify the conditions under which the double stopping and switching problems a

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34

Janák, Josef. "Stochastické diferenciální rovnice s Gaussovským šumem." Doctoral thesis, 2018. http://www.nusl.cz/ntk/nusl-389647.

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Title: Stochastic Differential Equations with Gaussian Noise Author: Josef Janák Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Bohdan Maslowski, DrSc., Department of Probability and Mathematical Statistics Abstract: Stochastic partial differential equations of second order with two un- known parameters are studied. The strongly continuous semigroup (S(t), t ≥ 0) for the hyperbolic system driven by Brownian motion is found as well as the formula for the covariance operator of the invariant measure Q (a,b) ∞ . Based on ergodicity, two suitable families

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35

Švarcbach, Jan. "Využití nestandardních metod pro oceňování finančních derivátů." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-324246.

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In this thesis we use nonstandard methods for the valuation of derivatives on electricity. We model the dynamics of electricity spot price as mean reverting processes on the hyperfinite binomial tree and by switching to the risk-neutral world we derive analytical formulas for the price of forward contracts. Both of our models are fitted to the German electricity market and forward price predictions are compared with forward products traded on the exchange. We conclude that both the Ornstein-Uhlenbeck and the Schwartz one factor model fit long-term forward contracts well while our prediction re

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36

Schwalbe, Karsten. "Stochastic Fluctuations in Endoreversible Systems." Doctoral thesis, 2016. https://monarch.qucosa.de/id/qucosa%3A20641.

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In dieser Arbeit wird erstmalig der Einfluss stochastischer Schwankungen auf endoreversible Modelle untersucht. Hierfür wird die Novikov-Maschine mit drei verschieden Wärmetransportgesetzen (Newton, Fourier, asymmetrisch) betrachtet. Während die maximale verrichtete Arbeit und der dazugehörige Wirkungsgrad recht einfach im Falle konstanter Wärmebadtemperaturen hergeleitet werden können, ändern sich dies, falls die Temperaturen stochastisch fluktuieren können. Im letzteren Fall muss die stochastische optimale Kontrolltheorie genutzt werden, um das Maximum der zu erwartenden Arbeit und die dazug

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d'Afflisio, Enrica. "Maritime anomaly detection based on statistical methodologies: theory and applications." Doctoral thesis, 2022. http://hdl.handle.net/2158/1259001.

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The proposed research aims at contributing to advances in the anomaly detection methodologies within the framework of maritime domain, in order to improve the ability to reveal, understand, anticipate and prevent illegitimate activities at sea. This work has been developed based on three fundamental tools: a prior information from a maritime traffic graph that can be derived from a route atlas or from historical data, the Ornstein-Uhlenbeck mean reverting stochastic process to model the vessel's dynamics in deep waters, and the complete or incomplete observation of the available data from hete

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