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 9 of 9 for “"Stable processes"”.
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Stable processes: theory and applications in finance
This thesis is a study on stable distributions and some of their applications in understanding financial markets. Three broad problems are explored: First, we study a parameter and density estimation problem for stable distributions using commodity market data. We investigate and compare the …
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Max-Stable Processes, Measure Transport & Conditional Sampling
… Carlo algorithms for conditional sampling of max-stable processes. Next, we create models that incorporate physical laws, encoded by partial differential equations, to extend max-stable processes into regions without observations. Third, we design specialized transport map frameworks for …
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Heat trace and heat content asymptotics for Schrodinger Operators of stable processes/fractional Laplacians
… y</em>) is the transition density of a stable process killed upon exiting Ω. ^ The function <em>Z</em>((α)/Ω)/)(<em>t</em>) is known as the heat trace and a second order expansion is provided in [6] for all 0 < α ≤ 2 for<em>R</em>-smooth boundary domains. In [5] the result is extended to …
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Potential Theory for Subordinate Brownian Motion by Tempered Stable Subordinator
In this thesis, a class of processes called tempered stable subordinators is defined. By subordinating Brownian motion {Bt : t ≥ 0} with independent tempered stable subordinators {Zt : t ≥ 0}, we can get a class of Levy processes Xt := BZtw (o) in Rd (d ≥ 2). Some well known processes such …
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Martingales, Singular Integrals, and Fourier Multipliers
… transforms with respect to symmetric α-stable processes, 0 < α < 2. Our proof does not use the fact that 0 < α < 2 and therefore allows us to obtain a larger class of multipliers, indexed by a parameter, 0 < <em>r</em> < ∞, which are bounded on <em>L p.</em> As in the case of the …
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On intrinsic ultracontractivity of perturbed Levy processes and applications of Levy processes in actuarial mathematics
In this thesis, we study certain aspects of Levy processes and their applications. In the first part of this thesis, we study the applications of Levy processes in actuarial mathematics. Our topics are closely related to the generalized Ornstein-Uhlenbeck processes. We investigate their intimate …
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Critical process parameter determination during production start-up
… for the short term goals relating to attaining stable processes as well as provide guidance on long term handles for process improvement. First, a summary of previous literature regarding start-up process data as well as typical stable process data usage will be presented. This will provide …