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Rozprawy doktorskie na temat „Stochastic processes Mathematical models”

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Data publikacji: 4 czerwca 2021

Data aktualizacji: 29 stycznia 2023

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1

Cole, D. J. "Stochastic branching processes in biology." Thesis, University of Kent, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270684.

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Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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Shepherd, Tricia D. "Models for chemical processes : activated dynamics across stochastic potentials." Diss., Georgia Institute of Technology, 2002. http://hdl.handle.net/1853/27062.

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Gagliardini, Lucia. "Chargaff symmetric stochastic processes." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8699/.

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Scopo della modellizzazione delle stringhe di DNA è la formulazione di modelli matematici che generano sequenze di basi azotate compatibili con il genoma esistente. In questa tesi si prendono in esame quei modelli matematici che conservano un'importante proprietà, scoperta nel 1952 dal biochimico Erwin Chargaff, chiamata oggi "seconda regola di Chargaff". I modelli matematici che tengono conto delle simmetrie di Chargaff si dividono principalmente in due filoni: uno la ritiene un risultato dell'evoluzione sul genoma, mentre l'altro la ipotizza peculiare di un genoma primitivo e non intaccata

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Leung, Ho-yin, and 梁浩賢. "Stochastic models for optimal control problems with applications." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B42841781.

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6

Zhang, Dongxiao. "Conditional stochastic analysis of solute transport in heterogeneous geologic media." Diss., The University of Arizona, 1993. http://hdl.handle.net/10150/186553.

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This dissertation develops an analytical-numerical approach to deterministically predict the space-time evolution of concentrations in heterogeneous geologic media conditioned on measurements of hydraulic conductivities (transmissivities) and/or hydraulic heads. Based on the new conditional Eulerian-Lagrangian transport theory by Neuman, we solve the conditional transport problem analytically at early time, and express it in pseudo-Fickian form at late time. The stochastically derived deterministic pseudo-Fickian mean concentration equation involves a conditional, space-time dependent dispersi

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Thompson, Mery H. "Optimum experimental designs for models with a skewed error distribution with an application to stochastic frontier models /." Connect to e-thesis, 2008. http://theses.gla.ac.uk/236/.

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Thesis (Ph.D.) - University of Glasgow, 2008.<br>Ph.D. thesis submitted to the Faculty of Information and Mathematical Sciences, Department of Statistics, 2008. Includes bibliographical references. Print version also available.

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Uyar, Emrah. "Routing in stochastic environments." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26554.

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Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009.<br>Committee Co-Chair: Erera, Alan L.; Committee Co-Chair: Savelsbergh, Martin W. P.; Committee Member: Ergun, Ozlem; Committee Member: Ferguson, Mark; Committee Member: Kleywegt, Anton J.. Part of the SMARTech Electronic Thesis and Dissertation Collection.

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9

Gong, Bo. "Numerical methods for backward stochastic differential equations with applications to stochastic optimal control." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/462.

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The concept of backward stochastic differential equation (BSDE) was initially brought up by Bismut when studying the stochastic optimal control problem. And it has been applied to describe various problems particularly to those in finance. After the fundamental work by Pardoux and Peng who proved the well-posedness of the nonlinear BSDE, the BSDE has been investigated intensively for both theoretical and practical purposes. In this thesis, we are concerned with a class of numerical methods for solving BSDEs, especially the one proposed by Zhao et al.. For this method, the convergence theory of

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10

Hashad, Atalla I. "Analysis of non-Gaussian processes using the Wiener model of discrete nonlinear systems." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 1994. http://handle.dtic.mil/100.2/ADA297343.

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Dissertation (Ph. D. in Electrical Engineering) Naval Postgraduate School, December 1994.<br>"December 1994." Dissertation supervisor(s): Charles W. Therrien. Includes bibliographical references. Also available online.

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Parra, Rojas César. "Intrinsic fluctuations in discrete and continuous time models." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/intrinsic-fluctuations-in-discrete-and-continuous-time-models(d7006a2b-1496-44f2-8423-1f2fa72be1a5).html.

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This thesis explores the stochastic features of models of ecological systems in discrete and in continuous time. Our interest lies in models formulated at the microscale, from which a mesoscopic description can be derived. The stochasticity present in the models, constructed in this way, is intrinsic to the systems under consideration and stems from their finite size. We start by exploring a susceptible-infectious-recovered model for epidemic spread on a network. We are interested in the case where the connectivity, or degree, of the individuals is characterised by a very broad, or heterogeneo

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12

Frencl, Victor Baptista 1983. "Técnicas de filtragem utilizando processos com saltos markovianos aplicados ao rastreamento de alvos móveis." [s.n.], 2010. http://repositorio.unicamp.br/jspui/handle/REPOSIP/260016.

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Orientadores: João Bosco Ribeiro do Val, Rafael Santos Mendes<br>Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação<br>Made available in DSpace on 2018-08-16T00:17:25Z (GMT). No. of bitstreams: 1 Frencl_VictorBaptista_M.pdf: 1147363 bytes, checksum: 3933c461f1a19d86a46afeaba7057140 (MD5) Previous issue date: 2010<br>Resumo: Esta dissertação possui como tema o estudo do problema de rastreamento de alvos manobrantes a partir da modelagem de sistemas dinâmicos com utilização da teoria de saltos markovianos nas transições entre modelos, d

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13

Chao, Chon Ip. "The simulations of Levy processes and stochastic volatility models." Thesis, University of Macau, 2009. http://umaclib3.umac.mo/record=b2130012.

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Breen, Barbara J. "Computational nonlinear dynamics monostable stochastic resonance and a bursting neuron model /." Diss., Available online, Georgia Institute of Technology, 2004:, 2003. http://etd.gatech.edu/theses/available/etd-04082004-180036/unrestricted/breen%5Fbarbara%5Fj%5F200312%5Fphd.pdf.

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15

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/.

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Eberz-Wagner, Dorothea M. "Discrete growth models /." Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/5797.

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Britton, Matthew Scott. "Stochastic task scheduling in time-critical information delivery systems." Title page, contents and abstract only, 2003. http://web4.library.adelaide.edu.au/theses/09PH/09phb8629.pdf.

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"January 2003" Includes bibliographical references (leaves 120-129) Presents performance analyses of dynamic, stochastic task scheduling policies for a real- time-communications system where tasks lose value as they are delayed in the system.

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Ortiz, Olga L. "Stochastic inventory control with partial demand observability." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/22551.

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Thesis (Ph. D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2008.<br>Committee Co-Chair: Alan L Erera; Committee Co-Chair: Chelsea C, White III; Committee Member: Julie Swann; Committee Member: Paul Griffin; Committee Member: Soumen Ghosh.

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Dyson, Louise. "Mathematical models of cranial neural crest cell migration." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:66955fb9-691f-4d27-ad26-39bb2b089c64.

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From the developing embryo to the evacuation of football stadiums, the migration and movement of populations of individuals is a vital part of human life. Such movement often occurs in crowded conditions, where the space occupied by each individual impacts on the freedom of others. This thesis aims to analyse and understand the effects of occupied volume (volume exclusion) on the movement of the individual and the population. We consider, as a motivating system, the rearrangement of individuals required to turn a clump of cells into a functioning embryo. Specifically, we consider the migration

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Ysusi, Mendoza Carla Mariana. "Estimation of the variation of prices using high-frequency financial data." Thesis, University of Oxford, 2005. http://ora.ox.ac.uk/objects/uuid:1b520271-2a63-428d-b5a0-e7e9c4afdc66.

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When high-frequency data is available, realised variance and realised absolute variation can be calculated from intra-day prices. In the context of a stochastic volatility model, realised variance and realised absolute variation can estimate the integrated variance and the integrated spot volatility respectively. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the precision of these estimators. When the log-price process involves a finite activity jump process, realised variance estimates the quadratic variation of

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Merino, Fernández Raúl. "Option Price Decomposition for Local and Stochastic Volatility Jump Diffusion Models." Doctoral thesis, Universitat de Barcelona, 2021. http://hdl.handle.net/10803/671682.

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In this thesis, an option price decomposition for local and stochastic volatility jump diffusion models is studied. On the one hand, we generalise and extend the Alòs decomposition to be used in a wide variety of models such as a general stochastic volatility model, a stochastic volatility jump dffusion model with finite activity or a rough volatility model. Furthermore, we note that in the case of local volatility models, speci_cally, spot-dependent models, a new decomposition formula must be used to obtain good numerical results. In particular, we study the CEV model. On the other hand, we

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22

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.

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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

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23

Tsujimoto, Tsunehiro. "Calibration of the chaotic interest rate model." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/2568.

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In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR rates and forward swap rates by modelling the state price density. It means that we are able to secure the arbitrage-free condition and positive interest rate feature when we model the volatility drifts of those dynamics. On the other hand, we develop the Potential Approach, particularly the Hughston-Rafailidis Chaotic Interest Rate Model. The early argument enables us to infer that the Chaos Models belong to the

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Franz, Benjamin. "Recent modelling frameworks for systems of interacting particles." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:ac76d159-4cdd-40c9-b378-6ea1faf48aed.

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In this thesis we study three different modelling frameworks for biological systems of dispersal and combinations thereof. The three frameworks involved are individual-based models, group-level models in the form of partial differential equations (PDEs) and robot swarms. In the first two chapters of the thesis, we present ways of coupling individual based models with PDEs in so-called hybrid models, with the aim of achieving improved performance of simulations. Two classes of such hybrid models are discussed that allow an efficient simulation of multi-species systems of dispersal with reaction

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25

Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.

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This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These re

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Chipindirwi, Simbarashe. "Analysis of a simple gene expression model." Thesis, Lethbridge, Alta. : University of Lethbridge, Dept. of Chemistry and Biochemistry, c2012, 2012. http://hdl.handle.net/10133/3251.

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Gene expression is random owing to the low copy numbers of molecules in a living cell and the best way to study it is by use of a stochastic method, specifically the chemical master equation. The method is used here to derive analytically the invariant probability distributions, and expressions for the moments and noise strength for a simple gene model without feedback. Sensitivity analysis, emphasizing particularly the dependence of the probability distributions, the moments, and noise strength is carried out using Metabolic Control Analysis, which uses control coefficients that measure the r

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Rosser, Gabriel A. "Mathematical modelling and analysis of aspects of bacterial motility." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:1af98367-aa2f-4af3-9344-8c361311b553.

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The motile behaviour of bacteria underlies many important aspects of their actions, including pathogenicity, foraging efficiency, and ability to form biofilms. In this thesis, we apply mathematical modelling and analysis to various aspects of the planktonic motility of flagellated bacteria, guided by experimental observations. We use data obtained by tracking free-swimming Rhodobacter sphaeroides under a microscope, taking advantage of the availability of a large dataset acquired using a recently developed, high-throughput protocol. A novel analysis method using a hidden Markov model for the i

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Samaranayaka, Ari, and n/a. "Environmental stochasticity and density dependence in animal population models." University of Otago. Department of Mathematics & Statistics, 2006. http://adt.otago.ac.nz./public/adt-NZDU20060907.114616.

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Biological management of populations plays an indispensable role in all areas of population biology. In deciding between possible management options, one of the most important pieces of information required by population managers is the likely population status under possible management actions. Population dynamic models are the basic tool used in deriving this information. These models elucidate the complex processes underlying the population dynamics, and address the possible consequences/merits of management actions. These models are needed to guide the population towards desired/chosen man

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Zararsiz, Zarife. "On an epidemic model given by a stochastic differential equation." Thesis, Växjö University, School of Mathematics and Systems Engineering, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5747.

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North, Ben. "Learning dynamical models for visual tracking." Thesis, University of Oxford, 1998. http://ora.ox.ac.uk/objects/uuid:6ed12552-4c30-4d80-88ef-7245be2d8fb8.

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Using some form of dynamical model in a visual tracking system is a well-known method for increasing robustness and indeed performance in general. Often, quite simple models are used and can be effective, but prior knowledge of the likely motion of the tracking target can often be exploited by using a specially-tailored model. Specifying such a model by hand, while possible, is a time-consuming and error-prone process. Much more desirable is for an automated system to learn a model from training data. A dynamical model learnt in this manner can also be a source of useful information in its own

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Nassar, Hiba. "Regularized Calibration of Jump-Diffusion Option Pricing Models." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9063.

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An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. By numerical examples, it is shown that the usual formulation of the inverse problem via Non-linear Least Squares is an ill-posed problem. To achieve well-posedness of the problem, some regularization is needed. Therefore a regularization method based on relative entropy is applied.

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Janssen, Arend. "Order book models, signatures and numerical approximations of rough differential equations." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:264e96b3-f449-401b-8768-337acab59cab.

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We construct a mathematical model of an order driven market where traders can submit limit orders and market orders to buy and sell securities. We adapt the notion of no free lunch of Harrison and Kreps and Jouini and Kallal to our setting and we prove a no-arbitrage theorem for the model of the order driven market. Furthermore, we compute signatures of order books of different financial markets. Signatures, i.e. the full sequence of definite iterated integrals of a path, are one of the fundamental elements of the theory of rough paths. The theory of rough paths provides a framework to describ

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Frencl, Victor Baptista 1983. "Estudo da dinâmica de indivíduos para rastreamento multi-alvo utilizando conjuntos aleatórios finitos." [s.n.], 2014. http://repositorio.unicamp.br/jspui/handle/REPOSIP/260839.

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Orientador: João Bosco Ribeiro do Val<br>Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação<br>Made available in DSpace on 2018-08-25T04:12:10Z (GMT). No. of bitstreams: 1 Frencl_VictorBaptista_D.pdf: 1574127 bytes, checksum: 86e39d74bf9c9e7734aa764b39aaac1a (MD5) Previous issue date: 2014<br>Resumo: O problema de rastreamento de alvos é tratado de diversas formas na literatura, seja elaborando modelos matemáticos mais eficientes na reprodução da dinâmica de movimentos, seja na construção de filtros estocásticos que realizem estimativa de e

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Salimi-Khorshidi, Gholamreza. "Statistical models for neuroimaging meta-analytic inference." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:40a10327-7f36-42e7-8120-ae04bd8be1d4.

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A statistical meta-analysis combines the results of several studies that address a set of related research hypotheses, thus increasing the power and reliability of the inference. Meta-analytic methods are over 50 years old and play an important role in science; pooling evidence from many trials to provide answers that any one trial would have insufficient samples to address. On the other hand, the number of neuroimaging studies is growing dramatically, with many of these publications containing conflicting results, or being based on only a small number of subjects. Hence there has been increas

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Silveira, Graciele Paraguaia 1982. "Métodos numéricos integrados à lógica Fuzzy e método estocástico para solução de EDP's = uma aplicação à dengue." [s.n.], 2011. http://repositorio.unicamp.br/jspui/handle/REPOSIP/307567.

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Orientadores: Laécio Carvalho de Barros, Laércio Luis Vendite<br>Tese (doutorado) - Universidade Estadual de Campinas,Instituto de Matemática, Estatística e Computação Científica<br>Made available in DSpace on 2018-08-19T00:19:17Z (GMT). No. of bitstreams: 1 Silveira_GracieleParaguaia_D.pdf: 5271083 bytes, checksum: abdfc81c4fe86f2067acbee72425a50c (MD5) Previous issue date: 2011<br>Resumo: Neste trabalho um modelo matemático (do tipo SIR - Suscetível, Infectado, Recuperado) integrado foi proposto para o estudo do espalhamento espaço - temporal da dengue. O modelo é descrito por Equações Dif

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McBryde, Emma Sue. "Mathematical and statistical modelling of infectious diseases in hospitals." Queensland University of Technology, 2006. http://eprints.qut.edu.au/16330/.

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Antibiotic resistant pathogens, such as methicillin-resistant Staphylococcus aureus (MRSA), and vancomycin-resistant enterococci (VRE), are an increasing burden on healthcare systems. Hospital acquired infections with these organisms leads to higher morbidity and mortality compared with the sensitive strains of the same species and both VRE and MRSA are on the rise worldwide including in Australian hospitals. Emerging community infectious diseases are also having an impact on hospitals. The Severe Acute Respiratory Syndrome virus (SARS Co-V) was noted for its propensity to spread throughout ho

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McBryde, Emma Sue. "Mathematical and statistical modelling of infectious diseases in hospitals." Thesis, Queensland University of Technology, 2006. https://eprints.qut.edu.au/16330/1/Emma_McBryde_Thesis.pdf.

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Antibiotic resistant pathogens, such as methicillin-resistant Staphylococcus aureus (MRSA), and vancomycin-resistant enterococci (VRE), are an increasing burden on healthcare systems. Hospital acquired infections with these organisms leads to higher morbidity and mortality compared with the sensitive strains of the same species and both VRE and MRSA are on the rise worldwide including in Australian hospitals. Emerging community infectious diseases are also having an impact on hospitals. The Severe Acute Respiratory Syndrome virus (SARS Co-V) was noted for its propensity to spread throughout ho

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Burgain, Pierrick Antoine. "On the control of airport departure operations." Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/37261.

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This thesis is focused on airport departure operations; its objective is to assign a value to surface surveillance information within a collaborative framework. The research develops a cooperative concept that improves the control of departure operations at busy airports and evaluates its merit using a classical and widely accepted airport departure model. The research then assumes departure operations are collaboratively controlled and develops a stochastic model of taxi operations on the airport surface. Finally, this study investigates the effect of feeding back different levels of surface

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Van, Zyl Verena Helen. "Searching for histogram patterns due to macroscopic fluctuations in financial time series." Thesis, Stellenbosch : University of Stellenbosch, 2007. http://hdl.handle.net/10019.1/3078.

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Thesis (MComm (Business Management))--University of Stellenbosch, 2007.<br>ENGLISH ABSTRACT: his study aims to investigate whether the phenomena found by Shnoll et al. when applying histogram pattern analysis techniques to stochastic processes from chemistry and physics are also present in financial time series, particularly exchange rate and index data. The phenomena are related to fine structure of non-smoothed frequency distributions drawn from statistically insufficient samples of changes and their patterns in time. Shnoll et al. use the notion of macroscopic fluctuations to explain t

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Abramowicz, Konrad. "Numerical analysis for random processes and fields and related design problems." Doctoral thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-46156.

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In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. The thesis consists of an introductory survey of the subject and related theory and four papers (A-D). In paper A, we study a Hermite spline approximation of quadratic mean continuous and differentiable random processes with an isolated point singularity. We consider a piec

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Li, Heping. "Condition-based maintenance policies for multi-component systems considering stochastic dependences." Thesis, Troyes, 2016. http://www.theses.fr/2016TROY0030/document.

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De nos jours, les systèmes industriels sont de plus en plus complexes tant du point de vue de leur structure logique que des diverses dépendances (dépendances économique, stochastiques et structurelles) entre leurs composants qui peuvent influencer l'optimisation de la maintenance. La Maintenance conditionnelle qui permet de gérer les activités de maintenance en fonction de l’information de surveillance a fait l’objet de beaucoup d'attention au cours des dernières années, mais les dépendances stochastiques sont rarement utilisées dans le processus de prise de décision. Par conséquent, cette th

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Calcraft, Peter James. "Two-pore channels and NAADP-dependent calcium signalling." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/888.

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Shukron, Ofir. "Modélisation et analyse de modèles de polymères aléatoirement réticulé et application à l’organisation et à la dynamique de la chromatine." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLEE063/document.

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Dans cette thèse nous étudions la relation entre la conformation et la dynamique de la chromatine en nous basant sur une classe de modèles de polymères aléatoirement réticulé (AR). Les modèles AR permettent de prendre en compte la variabilité de la conformation de la chromatine sur l’ensemble d’une population de cellules. Nous utilisons les outils tels que les statistiques, les processus stochastiques, les simulations numériques ainsi que la physique des polymères afin de déduire certaines propriétés des polymères AR a l’équilibre ainsi que pour des cas transitoires. Nous utilisons par la suit

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Silvestre, Bezerra Manoel Ivanildo 1961. "Proposta de um método sub-ótimo para estimação espectral do modelo ARMA." [s.n.], 2012. http://repositorio.unicamp.br/jspui/handle/REPOSIP/261228.

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Orientador: Yuzo Iano<br>Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação<br>Made available in DSpace on 2018-08-20T16:16:02Z (GMT). No. of bitstreams: 1 SilvestreBezerra_ManoelIvanildo_D.pdf: 5165235 bytes, checksum: 93259721102d21ca5d681ec6df5622e0 (MD5) Previous issue date: 2012<br>Resumo: Neste trabalho é proposto um novo método de estimação separada (sub-ótimo) para o processo (modelo) espectral ARMA. Os métodos sub-ótimos utilizam-se das equações de Yule-Walker e do método de mínimos quadrados para as estimativas AR, e geralmente do

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Angoshtari, Bahman. "Stochastic modeling and methods for portfolio management in cointegrated markets." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:1ae9236c-4bf0-4d9b-a694-f08e1b8713c0.

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In this thesis we study the utility maximization problem for assets whose prices are cointegrated, which arises from the investment practice of convergence trading and its special forms, pairs trading and spread trading. The major theme in the first two chapters of the thesis, is to investigate the assumption of market-neutrality of the optimal convergence trading strategies, which is a ubiquitous assumption taken by practitioners and academics alike. This assumption lacks a theoretical justification and, to the best of our knowledge, the only relevant study is Liu and Timmermann (2013) which

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Stilgenbauer, Patrik [Verfasser]. "The Stochastic Analysis of Fiber Lay-Down Models : An Interplay between Pure and Applied Mathematics involving Langevin Processes on Manifolds, Ergodicity for Degenerate Kolmogorov Equations and Hypocoercivity [[Elektronische Ressource]] / Patrik Stilgenbauer." München : Verlag Dr. Hut, 2014. http://d-nb.info/1050331729/34.

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Shao, Haimei. "Price discovery in the U.S. bond market trading strategies and the cost of liquidity." Doctoral diss., University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5032.

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The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equa

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Gobira, Diogo Barboza. "Precificação de derivativos exóticos no mercado de petróleo." reponame:Repositório Institucional do BNDES, 2014. http://web.bndes.gov.br/bib/jspui/handle/1408/7023.

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Bibliografia: p. 109-111<br>Dissertação (mestrado) - Instituto Nacional de Matemática Pura e Aplicada, Rio de Janeiro, 2014.<br>Estudamos a precificação de opções exóticas nos mercados de petróleo e de seus derivados. Iniciamos com uma análise exploratória dos dados, revisitando suas propriedades estatísticas e fatos estilizados relacionados às volatilidades e correlações. Subsidiados pelos resultados de tal análise, apresentamos alguns dos principais modelos forward para commodities e um vasto conjunto de estruturas determinísticas de volatilidades, bem como os respectivos métodos de calibrag

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Zhu, Wenjin. "Maintenance of monitored systems with multiple deterioration mechanisms in dynamic environments : application to wind turbines." Thesis, Troyes, 2014. http://www.theses.fr/2014TROY0005/document.

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Les travaux présentés contribuent à la modélisation stochastique de la maintenance de systèmes mono- ou multi-composants à détériorations et à modes de défaillances multiples en environnement dynamique. Dans ce cadre, les contributions portent d'une part sur la modélisation des processus de défaillance, et d'autre part sur la proposition de structures de décision de maintenance intégrant les différents types d'information de surveillance en ligne disponible sur le système (état de détérioration mesuré ou reconstruit, état de l'environnement, ...) et le développement des modèles mathématiques d

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Yamazato, Makoto. "Non-life Insurance Mathematics." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96535.

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In this work we describe the basic facts of non-life insurance and then explain risk processes. In particular, we will explain in detail the asymptotic behavior of the probability that an insurance product may end up in ruin during its lifetime. As expected, the behavior of such asymptotic probability will be highly dependent on the tail distribution of each claim.<br>En este artículo describimos los conceptos básicos relacionados a seguros que no sean de vida y luego explicamos procesos de riesgo. En particular, tratamos al detalle el comportamiento asintótico de la probabilidad de que un pro

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