Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Jump processes"”.
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Variance reduction for Poisson and Markov jump processes
… the tau-leaping time-stepping method for Markov processes. Both antithetical and stratified sampling variance-reduction techniques are considered for Poisson mean estimation, and a hybridization of them is developed that has lower variance than either for every value of the Poisson parameter. …
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Applications of jump processes in epidemiology and neuroscience
This thesis concerns novel applications of jump processes in epidemiology and neuroscience. A jump process is a stochastic process that models the occurrence of discrete events over time. In epidemiology, the events correspond to catching an infection, recovering from a disease, etc. In …
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Reciprocal classes of Markov processes : an approach with duality formulae
… of certain classes of stochastic processes via duality formulae. In particular we consider reciprocal processes with jumps, a subject up to now neglected in the literature. In the first part we introduce a new formulation of a characterization of processes with independent …
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Stochastic dynamics and fluctuation theorems in Brownian, feedback-controlled, and optical cavity systems
… of entropy production in homogeneous Markov jump processes is presented. While this result is not central to the main theme of the thesis, it reveals a simple yet nontrivial mathematical structure underlying such processes. The systems studied in this thesis are diverse, including Brownian …
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Automatic Bayesian Inference of Reaction Networks via Guiding
Jump process models based on chemical reaction networks are ubiquitous, especially in systems biology modeling. However, performing inference on the latent variables and parameters of such models is challenging, particularly when the observations of the system state are noisy and incomplete. This …
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Energy methods for nonsymmetric nonlocal operators
… for a large class of nonsymmetric diffusions and jump processes.
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Essays on the Econometrics of Financial Data
… for inference in the context of diffusion processes with jumps. There are many applications. For example, in finance, this methodology can be used to study asset pricing. My dissertation consists of two chapters which are closely related. They reveal the relationship between the power of a …
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
… is done by assuming that the underlying factor processes, which describe the dynamics of the interest and spread rates are given by a diffusion process such that bond prices can be expressed as polynomials and the forward Libor rates as rational functions. At the end of the first chapter, we …
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Quantitative studies and Hydrodynamical limits for interacting particle systems
… diffusion equations from microscopic stochastic processes. We present a new, quantitative, unified method to show that the particle densities of one-dimensional processes on a periodic lattice, including the zero-range and simple exclusion jump processes as well as diffusion processes of …
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Superprobability on Graphs
… are the vertex-reinforced and vertex-diminished jump processes. We also investigate supersymmetric versions of these formulas, which give exact random walk representations. The proofs are based on exploiting the continuous symmetries of the corresponding spin systems. The classical isomorphism …
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High performance digital signal processing: Theory, design, and applications in finance
… order one, AR(1), discrete stochastic processes are investigated and novel improvements are proposed. The new findings are applied to well-known problems in quantitative finance (QF). First, an efficient method to derive the explicit KLT kernel for AR(1) processes that utilizes a simple …
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Option Pricing models with Stochastic Volatility and Jumps
… (such as stochastic volatility effects and jumps in the price of the underlying). This dissertation tackles the question of which option pricing model to use; it compares diffusion, pure jump and jump-diffusion models. All models are fitted to one-day price data on S&P500 European vanilla …
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Deterministic and Stochastic Approaches to Relaxation to Equilibrium for Particle Systems
… to show convergence to equilibrium for Markov processes, Harris's theorem. We use this to show quantitative convergence to equilibrium for three Markov jump processes coming from kinetic theory: the linear relaxation/BGK equation, the linear Boltzmann equation, and a jump process which is …
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Asymptotics, exact results, and analogies in p-adic random matrix theory
… of random matrices over Qₚ and Hall-Littlewood processes, which are direct analogues of the classical relations between singular values of real or complex random matrices and type A Heckman-Opdam hypergeometric functions. (2) We prove that the boundary of the Hall-Littlewood t-deformation of the …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with the no–arbitrage principle. In particular, our mathematical developments include fBm defined through Mandelbrot–Van Ness kernels, and advanced mathematical tools such Molchan martingale and BDG inequalities ensuring …