Dissertations / Theses on the topic 'Continuous-time stochastic models'
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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.
Full textElerian, Ola. "Simulation estimation of continuous-time models with applications to finance." Thesis, University of Oxford, 1999. https://ora.ox.ac.uk/objects/uuid:9538382d-5524-416a-8a95-1b820dd795e1.
Full textCasas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.
Full textStelzer, Robert Josef. "Multivariate continuous time stochastic volatility models driven by a Lévy process." kostenfrei, 2007. http://mediatum2.ub.tum.de/doc/624065/document.pdf.
Full textTingström, Victor. "Sequential parameter and state learning in continuous time stochastic volatility models using the SMC² algorithm." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-177104.
Full textI denna Masteruppsats estimeras sekventiellt parametrar och tillstånd i stokastiska volatilitetsmodeller nyttjandes SMC2 -algoritmen som återfinns i [1]. Modellerna som studeras är de kontinuerliga s.v.-modellerna (i) Heston, (ii) Bates och (iii) SVCJ, där inferens baseras på optionspriser. Vi finner att SMC2 presterar bra resultat för de enklare modellerna (i) och (ii) emedan filtrering för (iii) presterar sämre. Vi finner ytterligare att det beräkningsmässigt tyngsta steget är optionsprissättning nyttjandes FFT, därför föreslås det att undersöka andra beräkningssätt, såsom GPGPU-beräkning
Witte, Hugh Douglas. "Markov chain Monte Carlo and data augmentation methods for continuous-time stochastic volatility models." Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/283976.
Full textMalloch, Hamish Jr. "The valuation of options on traded accounts: continuous and discrete time models." Thesis, The University of Sydney, 2010. http://hdl.handle.net/2123/7239.
Full textTribastone, Mirco. "Scalable analysis of stochastic process algebra models." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/4629.
Full textLo, Chia Chun. "Application of continuous time Markov chain models : option pricing, term structure of interest rates and stochastic filtering." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496255.
Full textMurray, Lawrence. "Bayesian learning of continuous time dynamical systems with applications in functional magnetic resonance imaging." Thesis, University of Edinburgh, 2009. http://hdl.handle.net/1842/4157.
Full textArastuie, Makan. "Generative Models of Link Formation and Community Detection in Continuous-Time Dynamic Networks." University of Toledo / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1596718772873086.
Full textRobacker, Thomas C. "Comparison of Two Parameter Estimation Techniques for Stochastic Models." Digital Commons @ East Tennessee State University, 2015. https://dc.etsu.edu/etd/2567.
Full textAllahyani, Seham. "Contributions to filtering under randomly delayed observations and additive-multiplicative noise." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/16297.
Full textJunuthula, Ruthwik Reddy. "Modeling, Evaluation and Analysis of Dynamic Networks for Social Network Analysis." University of Toledo / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1544819215833249.
Full textChen, Fengwei. "Contributions à l'identification de modèles à temps continu à partir de données échantillonnées à pas variable." Thesis, Université de Lorraine, 2014. http://www.theses.fr/2014LORR0149/document.
Full textThe output of a system is always corrupted by additive noise, therefore it is more practical to develop estimation algorithms that are capable of handling noisy data. The effect of white additive noise has been widely studied, while a colored additive noise attracts less attention, especially for a continuous-time (CT) noise. Sampling issues of CT stochastic processes are reviewed in this thesis, several sampling schemes are presented. Estimation of a CT stochastic process is studied. An expectation-maximization-based (EM) method to CT autoregressive/autoregressive moving average model is developed, which gives accurate estimation over a large range of sampling interval. Estimation of CT Box-Jenkins models is also considered in this thesis, in which the noise part is modeled to improve the performance of plant model estimation. The proposed method for CT Box-Jenkins model identification is in a two-step and iterative framework. Two-step means the plant and noise models are estimated in a separate and alternate way, where in estimating each of them, the other is assumed to be fixed. More specifically, the plant is estimated by refined instrumental variable (RIV) method while the noise is estimated by EM algorithm. Iterative means that the proposed method repeats the estimation procedure several times until a optimal estimate is found. Many practical systems have inherent time-delay. The problem of identifying delayed systems are of great importance for analysis, prediction or control design. The presence of a unknown time-delay greatly complicates the parameter estimation problem, essentially because the model are not linear with respect to the time-delay. An approach to continuous-time model identification of time-delay systems, combining a numerical search algorithm for the delay with the RIV method for the dynamic has been developed in this thesis. In the proposed algorithm, the system parameters and time-delay are estimated reciprocally in a bootstrap manner. The time-delay is estimated by an adaptive gradient-based method, whereas the system parameters are estimated by the RIV method. Since numerical method is used in this algorithm, the bootstrap method is likely to converge to local optima, therefore a low-pass filter has been used to enlarge the convergence region for the time-delay. The performance of the proposed algorithms are evaluated by numerical examples
Driver, Charles C. "Hierarchical Continuous Time Dynamic Modelling for Psychology and the Social Sciences." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/18927.
Full textWith this dissertation I endeavor to extend, and make practically applicable for psychology, the statistical approach of continuous time dynamic modelling, in which the role of time is made explicit. The structure of this dissertation is such that in Chapter 1, I discuss the nature of dynamic models, consider various approaches to handling multiple subjects, and detail a continuous time dynamic model with input effects (such as interventions) and a Gaussian measurement model. In Chapter 2, I describe the usage of the ctsem software for R developed as part of this dissertation, which provides a frequentist, mixed effects, structural equation modelling approach to estimation. Chapter 3 details a hierarchical Bayesian, fully random effects approach to estimation, allowing for subjects to differ not only in intercept parameters but in all characteristics of the measurement and dynamic models -- while still benefiting from other subjects data for parameter estimation. Chapter 4 describes the usage of the Bayesian extension to the ctsem software. In Chapter 5 I consider the nature of experimental interventions in the continuous time dynamic modelling framework, and show approaches to address questions regarding the way interventions influence psychological processes over time, with questions such as 'how long does a treatment take to reach maximum effect', `how does the shape of the effect change over time', and 'for whom is the effect strongest, or longest lasting'. Many examples using both frequentist and Bayesian forms of the ctsem software are given. For the final chapter I summarise the dissertation, consider limitations of the approaches offered, and provide some thoughts on possible future developments.
Horký, Miroslav. "Modely hromadné obsluhy." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-232033.
Full textAlbertyn, Martin. "Generic simulation modelling of stochastic continuous systems." Thesis, Pretoria : [s.n.], 2004. http://upetd.up.ac.za/thesis/available/etd-05242005-112442.
Full textRýzner, Zdeněk. "Využití teorie hromadné obsluhy při návrhu a optimalizaci paketových sítí." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2011. http://www.nusl.cz/ntk/nusl-219285.
Full textYuan, Di. "Essays on continuous time diffusion models." Thesis, 2013. http://hdl.handle.net/2440/83807.
Full textThesis (Ph.D.) -- University of Adelaide, School of Economics, 2013
Lin, Liang-Ching, and 林良靖. "Goodness-of-fit test for Continuous Time Stochastic Volatility Models." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/86397692008041741207.
Full text國立中山大學
應用數學系研究所
101
A goodness-of-fit test for stationary distributions of continuous time stochastic processes plays an important role in building up stochastic differential equation (SDE) models. In the first part of this dissertation, we propose two types of goodness-of-fit tests for continuous time stochastic volatility models (SVMs) based on discretely sampled observations. The first type of test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic volatility model. It is shown that under the null, the first proposed test statistics asymptotically follow a weighted sum of products of centered normal random variables. The second type of test is the Bickel-Rosenblatt test which is constructed by measuring integrated squared deviations between the nonparametric kernel density estimate from the observations and a parametric fit of the density. It is shown that under the null hypothesis, the Bickel-Rosenblatt test statistic is asymptotically normal. We also developed the Bickel-Rosenblatt test for the multivariate SVMs with a copula link. Its asymptotic null distribution is derived and bivariate examples are given. Simulation studies and real data analysis are conducted for both proposed tests. In the second part of this thesis, we consider inference for the SVMs with market microstructure noises which are often used to model high frequency financial data. Estimation of the integrated volatility is an important problem for high frequency financial data analysis. We consider the minimum variance unbiased estimator (MVUE) of the integrated volatility proposed by Lin (2007). The MVUE minimizes the finite sample variance in the class of unbiased estimators which are linear combinations of the sample autocovariance functions. The variance of the MVUE converges at a rate of Op(n−1/4). In particular, the MVUE achieves the maximum likelihood estimator efficiency for the constant volatility case. A recursive algorithm is developed to compute the optimal weights of the MVUE. Improved estimators of the microstructure noise variance and the quarticity are also proposed to facilitate the estimation procedure. Simulation results show our proposed estimator attains higher efficiency than state-of-the-art methods for the finite samples. Finally, a real data analysis is conducted for illustration. We also consider the goodness-of-fit test for the SVMs with microstructure noises. Moment estimators of the model parameters are proposed. A goodness-of-fit test based on the characteristic function is proposed. Simulation results of sizes and powers of the proposed test are given.
Walker, James. "Bayesian Inference and Model Selection for Partially-Observed, Continuous-Time, Stochastic Epidemic Models." Thesis, 2019. http://hdl.handle.net/2440/124703.
Full textThesis (Ph.D.) -- University of Adelaide, School of Mathematical Sciences, 2020
Stelzer, Robert [Verfasser]. "Multivariate continuous time stochastic volatility models driven by a Lévy process / Robert Josef Stelzer." 2007. http://d-nb.info/986220337/34.
Full textVarziri, M. Saeed. "Parameter estimation in nonlinear continuous-time dynamic models with modelling errors and process disturbances." Thesis, 2008. http://hdl.handle.net/1974/1248.
Full textThesis (Ph.D, Chemical Engineering) -- Queen's University, 2008-06-20 16:34:44.586
Thaba, Lethabo Jane. "Modelling the short term interest with stochastic differential equation in continuous time: linear versus non-linear mode." Thesis, 2014. http://hdl.handle.net/10210/11137.
Full textRecently, there has been a growth in the bond market. This growth has brought with it an ever-increasing volume and range of interest rate depended derivative products known as interest rate derivatives. Amongst the variables used in pricing these derivative products is the short-term interest rate. A numbers of short-term interest rate models that are used to fit the short-term interest rate exist. Therefore, understanding the features characterised by various short-term interest rate models, and determining the best fitting models is crucial as this variable is fundamental in pricing interest rate derivatives, which further determine the decision making of economic agents. This dissertation examines various short-term interest rate models in continuous time in order to determine which model best fits the South African short-term interest rates. Both the linear and nonlinear short-term interest rate models were estimated. The methodology adopted in estimating the models was parametric approach using Quasi Maximum Likelihood Estimation (QMLE). The findings indicate that nonlinear models seem to fit the South African short-term interest rate data better than the linear models
Long, Chu Hoang. "A parametric linear programming approach to continuous-time stochastic optimal control problems with binary variables : applications to bioeconomic models and marine reserves." Phd thesis, 2009. http://hdl.handle.net/1885/150597.
Full textHo, Shih-Ju, and 賀世儒. "Optimal control for continuous-time stochastic T-S fuzzy model with stochastic uncertainty." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/49749805655657511193.
Full textJacewitz, Stefan A. "Essays on the Predictability and Volatility of Asset Returns." 2009. http://hdl.handle.net/1969.1/ETD-TAMU-2009-08-859.
Full textPATARA, FULVIO. "Multi-level meta-modeling architectures applied to eHealth." Doctoral thesis, 2016. http://hdl.handle.net/2158/1041924.
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