<p>A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974  and Goldmann-Sachs closings 2005-- May 2009 are given.</p>

<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 / smile&rdquo / 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 which volatility is assumed to be constant.</p>

We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a nite Markov chain such that the boundary crossing probability of Brownian motion is obtained as the limiting probability of the nite Markov chain entering a set of absorbing states induced by the boundary. Numerical results are given to illustrate our method.

Pagrindinė šios disertacijos tema - stochastinių diferencialinių lygčių (SDL), valdomų trupmeninio Brauno judesio (tBj), sprendinių Hursto indekso H vertinimas. Pirmiausia disertacijoje išnagrinėta SDL, valdomų tBj, sprendinių pirmos ir antros eilės kvadratinių variacijų ribinė elgsena. Iš šių rezultatų seka keli stipriai pagrįsti Hursto indekso H įvertiniai. Įrodyta, kad šie įvertiniai išlieka stipriai pagrįsti, jei tikra sprendinio trajektorija keičiama jos Milšteino aproksimacija. Taip pat išnagrinėtos pokyčių santykio (increment ratios) statistikos H įvertinio, gauto J. M. Bardeto ir D. Surgailio 2010 m., taikymo trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui galimybės bei nustatytas modifikuoto Gladyševo H įvertinio konvergavimo į tikrąją parametro reikšmę greitis. Gauti įvertiniai palyginti su kai kuriais kitais žinomais Hursto indekso H įvertiniais: naiviais bei mažiausių kvadratų Gladyševo ir eta-sumavimo osciliacijos įvertiniais, variogramos įvertiniu ir pokyčių santykio statistikos įvertiniu. Įvertiniu elgsena buvo palyginta trupmeniniam Ornšteino-Ulenbeko (OU) procesui bei trupmeniniam geometriniam Brauno judesiui (gBj). Pradinės išvados buvo padarytos O-U procesui, kuris yra Gauso, o gBj procesas buvo naudojamas patikrinti, kaip šie įvertiniai elgiasi, kai procesas yra ne Gauso. Disertaciją sudaro įvadas, 3 pagrindiniai skyriai, išvados, literatūros sąrašas, autoriaus publikacijų disertacijos tema sąrašas ir du priedai. / The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stochastic differential equations (SDEs) driven by the fractional Brownian motion (fBm). Firstly, the limit behavior of the first and second order quadratic variations of the solutions of SDEs driven by the fBm is analyzed. This yields several strongly consistent estimators of the Hurst index H. Secondly, it is proved that in case the solution of the SDE is replaced by its Milstein approximation, the estimators remain strongly consistent. Additionally, the possibilities of applying the increment ratios (IR) statistic based estimator of H originally obtained by J. M. Bardet and D. Surgailis in 2010 to the fractional geometric Brownian motion are examined. Furthermore, this dissertation derives the convergence rate of the modified Gladyshev's estimator of the Hurst index to its real value. The estimators obtained in the dissertation were compared with several other known estimators of the Hurst index H, namely the naive and ordinary least squares Gladyshev and eta-summing oscillation estimators, the variogram estimator and the IR estimator. The models chosen for comparison of these estimators were the fractional Ornstein-Uhlenbeck (O-U) process and the fractional geometric Brownian motion (gBm). The initial inference about the behavior of these estimators was drawn for the O-U process which is Gaussian, while the gBm process was used to check how the estimators behave in a... [to full text]

The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stochastic differential equations (SDEs) driven by the fractional Brownian motion (fBm). Firstly, the limit behavior of the first and second order quadratic variations of the solutions of SDEs driven by the fBm is analyzed. This yields several strongly consistent estimators of the Hurst index H. Secondly, it is proved that in case the solution of the SDE is replaced by its Milstein approximation, the estimators remain strongly consistent. Additionally, the possibilities of applying the increment ratios (IR) statistic based estimator of H originally obtained by J. M. Bardet and D. Surgailis in 2010 to the fractional geometric Brownian motion are examined. Furthermore, this dissertation derives the convergence rate of the modified Gladyshev’s estimator of the Hurst index to its real value. The estimators obtained in the dissertation were compared with several other known estimators of the Hurst index H, namely the naive and ordinary least squares Gladyshev and eta-summing oscillation estimators, the variogram estimator and the IR estimator. The models chosen for comparison of these estimators were the fractional Ornstein-Uhlenbeck (O-U) process and the fractional geometric Brownian motion (gBm). The initial inference about the behavior of these estimators was drawn for the O-U process which is Gaussian, while the gBm process was used to check how the estimators behave in a... [to full text] / Pagrindinė šios disertacijos tema – stochastinių diferencialinių lygčių (SDL), valdomų trupmeninio Brauno judesio (tBj), sprendinių Hursto indekso H vertinimas. Pirmiausia disertacijoje išnagrinėta SDL, valdomų tBj, sprendinių pirmos ir antros eilės kvadratinių variacijų ribinė elgsena. Iš šių rezultatų seka keli stipriai pagrįsti Hursto indekso H įvertiniai. Įrodyta, kad šie įvertiniai išlieka stipriai pagrįsti, jei tikra sprendinio trajektorija keičiama jos Milšteino aproksimacija. Taip pat išnagrinėtos pokyčių santykio (increment ratios) statistikos H įvertinio, gauto J. M. Bardeto ir D. Surgailio 2010 m., taikymo trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui galimybės bei nustatytas modifikuoto Gladyševo H įvertinio konvergavimo i tikrąją parametro reikšme greitis. Gauti įvertiniai palyginti su kai kuriais kitais žinomais Hursto indekso H įvertiniais: naiviais bei mažiausių kvadratų Gladyševo ir eta-sumavimo osciliacijos įvertiniais, variogramos įvertiniu ir pokyčių santykio statistikos įvertiniu. Įvertinių elgsena buvo palyginta trupmeniniam Ornšteino-Ulenbeko (OU) procesui bei trupmeniniam geometriniam Brauno judesiui (gBj). Pradinės išvados buvo padarytos O-U procesui, kuris yra Gauso, o gBj procesas buvo naudojamas patikrinti, kaip šie įvertiniai elgiasi, kai procesas yra ne Gauso. Disertaciją sudaro įvadas, 3 pagrindiniai skyriai, išvados, literatūros sąrašas, autoriaus publikacijų disertacijos tema sąrašas ir du priedai.

We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a nite Markov chain such that the boundary crossing probability of Brownian motion is obtained as the limiting probability of the nite Markov chain entering a set of absorbing states induced by the boundary. Numerical results are given to illustrate our method.

In this thesis Langevin approach is applied to analyze the nuclear dissipative dynamics in fission and fusion reactions. In these investigations, the nuclear elongation coordinate and the corresponding momentum are chosen as collective variables. By considering changes in these variables the decay rate of fission and the formation probability of fusion for heavy ion reactions are calculated. These calculations are performed using simulation techniques and the results thus obtained are compared with the corresponding results of analytic solutions.

Les colloïdes superparamagnétiques sont utilisés dans de nombreuses études pour appliquer une force sur des cellules ou des molécules d'ADN. Dans une première partie, nous explorons le processus physique par lequel ces objets acquièrent une imantation leur permettant d'exercer des forces. Nous montrons comment la présence de quelques gros grains ferromagnétiques dans les colloïdes leur permet de s'orienter dans un champ externe. La robustesse de ce modèle est démontrée par sa généralisation à plusieurs tailles de colloïdes et sa cohérence avec les propriétés du ferrofluide ayant servi à les fabriquer. Dans une seconde partie, la réaction de filaments d'actine à la pression exercée par des colloïdes superparamagnétiques est étudiée. Nous sondons ainsi le mécanisme par lequel la polymérisation d'actine peut générer les forces à l'origine du phénomène de motilité cellulaire. La maîtrise de l'organisation des filaments autorise à étudier deux situations idéales. Dans l'une les filaments sont très fluctuants, et nous montrons que leur longueur est indépendante de la force appliquée. Ceci n'est plus vrai dans la deuxième situation, où les filaments rigides poussent face à la charge. Nous mesurons ainsi pour la première fois l'effet d'une force sur la vitesse de polymérisation de l'actine. Un modèle numérique de type Brownian ratchet sans partage de la charge permet de décrire la force générée.

The thesis reports a contribution to the development of neural-like network- based element-free methods for the numerical simulation of some non-Newtonian fluid flow problems. The numerical approximation of functions and solution of the governing partial differential equations are mainly based on radial basis function networks. The resultant micro-macroscopic approaches do not require any element-based discretisation and only rely on a set of unstructured collocation points and hence are truly meshless or element-free. The development of the present methods begins with the use of the multi-layer perceptron networks (MLPNs) and radial basis function networks (RBFNs) to effectively eliminate the volume integrals in the integral formulation of fluid flow problems. An adaptive velocity gradient domain decomposition (AVGDD) scheme is incorporated into the computational algorithm. As a result, an improved feed forward neural network boundary-element-only method (FFNN- BEM) is created and verified. The present FFNN-BEM successfully simulates the flow of several Generalised Newtonian Fluids (GNFs), including the Carreau, Power-law and Cross models. To the best of the author's knowledge, the present FFNN-BEM is the first to achieve convergence for difficult flow situations when the power-law indices are very small (as small as 0.2). Although some elements are still used to discretise the governing equations, but only on the boundary of the analysis domain, the experience gained in the development of element-free approximation in the domain provides valuable skills for the progress towards an element-free approach. A least squares collocation RBFN-based mesh-free method is then developed for solving the governing PDEs. This method is coupled with the stochastic simulation technique (SST), forming the mesoscopic approach for analyzing viscoelastic flid flows. The velocity field is computed from the RBFN-based mesh-free method (macroscopic component) and the stress is determined by the SST (microscopic component). Thus the SST removes a limitation in traditional macroscopic approaches since closed form constitutive equations are not necessary in the SST. In this mesh-free method, each of the unknowns in the conservation equations is represented by a linear combination of weighted radial basis functions and hence the unknowns are converted from physical variables (e.g. velocity, stresses, etc) into network weights through the application of the general linear least squares principle and point collocation procedure. Depending on the type of RBFs used, a number of parameters will influence the performance of the method. These parameters include the centres in the case of thin plate spline RBFNs (TPS-RBFNs), and the centres and the widths in the case of multi-quadric RBFNs (MQ-RBFNs). A further improvement of the approach is achieved when the Eulerian SST is formulated via Brownian configuration fields (BCF) in place of the Lagrangian SST. The SST is made more efficient with the inclusion of the control variate variance reduction scheme, which allows for a reduction of the number of dumbbells used to model the fluid. A highly parallelised algorithm, at both macro and micro levels, incorporating a domain decomposition technique, is implemented to handle larger problems. The approach is verified and used to simulate the flow of several model dilute polymeric fluids (the Hookean, FENE and FENE-P models) in simple as well as non-trivial geometries, including shear flows (transient Couette, Poiseuille flows)), elongational flows (4:1 and 10:1 abrupt contraction flows) and lid-driven cavity flows.

[pt] Esta dissertação procura analisar através de um estudo de caso, as alternativas de desenvolvimento de um campo de petróleo já descoberto, mas ainda não explorado, utilizando a Teoria das Opções Reais. A partir deste estudo, será possível avaliar uma alternativa de desenvolvimento da produção de dois poços de petróleo, que serão explorados no futuro, dependendo das condições de mercado e das informações técnicas geradas pela produção inicial do campo. A dissertação tem como principal objetivo comparar os resultados das incertezas de mercado no preço do petróleo representadas pelos processos estocásticos, o Movimento Geométrico Browniano e o Processo de Reversão à Média com Saltos, para determinação da ferramenta gerencial denominada Curva de Gatilho. / [en] This dissertation search for to analyze through a study of case, the alternatives of development of a oil field already discovered, but not yet exploited, using the Theory of the Real Options. From this study, it will be possible to evaluate an alternative of development of the production of two wells, that will be explored in the future, depending on the market conditions and of the technical informations generated for the initial production of the field. The dissertation has as mean objective to compare the results of the uncertainties of market in the price of oil rerepresented by Estocastic Processes, the Geometric Browniano Movement and the Process of Mean Reversion with Jumps, for determination of the management tool named of Trigger.