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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

An exploration of stochastic models

Gross, Joshua January 1900 (has links)
Master of Science / Department of Mathematics / Nathan Albin / The term stochastic is defined as having a random probability distribution or pattern that may be analyzed statistically but may not be predicted precisely. A stochastic model attempts to estimate outcomes while allowing a random variation in one or more inputs over time. These models are used across a number of fields from gene expression in biology, to stock, asset, and insurance analysis in finance. In this thesis, we will build up the basic probability theory required to make an ``optimal estimate", as well as construct the stochastic integral. This information will then allow us to introduce stochastic differential equations, along with our overall model. We will conclude with the "optimal estimator", the Kalman Filter, along with an example of its application.
2

Stochastic collocation methods for aeroelastic system with uncertainty

Deng, Jian. January 2009 (has links)
Thesis (M. Sc.)--University of Alberta, 2009. / Title from pdf file main screen (viewed on Sept. 3, 2009). "A thesis submitted to the Faculty of Graduate Studies and Research in partial fulfillment of the requirements for the degree of Master of Science in Applied Mathematics, Department of Mathematical and Statistical Sciences, University of Alberta." Includes bibliographical references.
3

Is there a predictable criterion for mutual singularity of two probability measures on a filtered space?

Schachermayer, Walter, Schachinger, Werner January 1999 (has links) (PDF)
The theme of providing predictable criteria for absolute continuity and for mutual singularity of two density processes on a filtered probability space is extensively studied, e.g., in the monograph by J. Jacod and A. N. Shiryaev [JS]. While the issue of absolute continuity is settled there in full generality, for the issue of mutual singularity one technical difficulty remained open ([JS], p210): "We do not know whether it is possible to derive a predictable criterion (necessary and sufficient condition) for "P'T..." (expression not representable in this abstract). It turns out that to this question raised in [JS] which we also chose as the title of this note, there are two answers: on the negative side we give an easy example, showing that in general the answer is no, even when we use a rather wide interpretation of the concept of "predictable criterion". The difficulty comes from the fact that the density process of a probability measure P with respect to another measure P' may suddenly jump to zero. On the positive side we can characterize the set, where P' becomes singular with respect to P - provided this does not happen in a sudden but rather in a continuous way - as the set where the Hellinger process diverges, which certainly is a "predictable criterion". This theorem extends results in the book of J. Jacod and A. N. Shiryaev [JS]. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
4

Spatial Service Systems Modelled as Stochastic Integrals of Marked Point Processes

Jones, Matthew O. 14 July 2005 (has links)
We characterize the equilibrium behavior of a class of stochastic particle systems, where particles (representing customers, jobs, animals, molecules, etc.) enter a space randomly through time, interact, and eventually leave. The results are useful for analyzing the dynamics of randomly evolving systems including spatial service systems, species populations, and chemical reactions. Such models with interactions arise in the study of species competitions and systems where customers compete for service (such as wireless networks). The models we develop are space-time measure-valued Markov processes. Specifically, particles enter a space according to a space-time Poisson process and are assigned independent and identically distributed attributes. The attributes may determine their movement in the space, and whenever a new particle arrives, it randomly deletes particles from the system according to their attributes. Our main result establishes that spatial Poisson processes are natural temporal limits for a large class of particle systems. Other results include the probability distributions of the sojourn times of particles in the systems, and probabilities of numbers of customers in spatial polling systems without Poisson limits.
5

On numerical approximations for stochastic differential equations

Zhang, Xiling January 2017 (has links)
This thesis consists of several problems concerning numerical approximations for stochastic differential equations, and is divided into three parts. The first one is on the integrability and asymptotic stability with respect to a certain class of Lyapunov functions, and the preservation of the comparison theorem for the explicit numerical schemes. In general, those properties of the original equation can be lost after discretisation, but it will be shown that by some suitable modification of the Euler scheme they can be preserved to some extent while keeping the strong convergence rate maintained. The second part focuses on the approximation of iterated stochastic integrals, which is the essential ingredient for the construction of higher-order approximations. The coupling method is adopted for that purpose, which aims at finding a random variable whose law is easy to generate and is close to the target distribution. The last topic is motivated by the simulation of equations driven by Lévy processes, for which the main difficulty is to generalise some coupling results for the one-dimensional central limit theorem to the multi-dimensional case.
6

Contributions à la modélisation des données financières à hautes fréquences / No English title available

Fauth, Alexis 26 May 2014 (has links)
Cette thèse a été réalisée au sein de l’entreprise Invivoo. L’objectif principal était de trouver des stratégies d’investissement : avoir un gain important et un risque faible. Les travaux de recherche ont été principalement portés par ce dernier point. Dans ce sens, nous avons voulu généraliser un modèle fidèle à la réalité des marchés financiers, que ce soit pour des données à basse comme à haute fréquence et, à très haute fréquence, variation par variation. / No English summary available.
7

Calcul stochastique commutatif et non-commutatif : théorie et application / Commutative and noncommutarive stochastic calculus : theory and applications

Hamdi, Tarek 07 December 2013 (has links)
Mon travail de thèse est composé de deux parties bien distinctes, la première partie est consacrée à l’analysestochastique en temps discret des marches aléatoires obtuses quant à la deuxième partie, elle est liée aux probabili-tés libres. Dans la première partie, on donne une construction des intégrales stochastiques itérées par rapport à unefamille de martingales normales d-dimentionelles. Celle-ci permet d’étudier la propriété de représentation chaotiqueen temps discret et mène à une construction des opérateurs gradient et divergence sur les chaos de Wiener correspon-dant. [...] d’une EDP non linéaire alors que la deuxième est de nature combinatoire.Dans un second temps, on a revisité la description de la mesure spectrale de la partie radiale du mouvement Browniensur Gl(d,C) quand d ! +¥. Biane a démontré que cette mesure est absolument continue par rapport à la mesurede Lebesgue et que son support est compact dans R+. Notre contribution consiste à redémontrer le résultat de Bianeen partant d’une représentation intégrale de la suite des moments sur une courbe de Jordon autour de l’origine etmoyennant des outils simples de l’analyse réelle et complexe. / My PhD work is composed of two parts, the first part is dedicated to the discrete-time stochastic analysis for obtuse random walks as to the second part, it is linked to free probability. In the first part, we present a construction of the stochastic integral of predictable square-integrable processes and the associated multiple stochastic integrals ofsymmetric functions on Nn (n_1), with respect to a normal martingale.[...] In a second step, we revisited thedescription of the marginal distribution of the Brownian motion on the large-size complex linear group. Precisely, let (Z(d)t )t_0 be a Brownian motion on GL(d,C) and consider nt the limit as d !¥ of the distribution of (Z(d)t/d)⋆Z(d)t/d with respect to E×tr.

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