Dissertations / Theses: 'Stochastic processes Mathemetical models'

1

Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Cole, D. J. "Stochastic branching processes in biology." Thesis, University of Kent, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270684.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Rumsey, Deborah Jean. "Nonresponse models for social network stochastic processes /." The Ohio State University, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487846885778158.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Rumsey, Deborah J. "Nonresponse models for social network stochastic processes /." Connect to resource, 1993. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261508861.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Chung, Kun-Jen. "Some topics in risk-sensitive stochastic dynamic models." Diss., Georgia Institute of Technology, 1985. http://hdl.handle.net/1853/28644.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Gagliardini, Lucia. "Chargaff symmetric stochastic processes." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8699/.

Full text

Abstract:

Scopo della modellizzazione delle stringhe di DNA è la formulazione di modelli matematici che generano sequenze di basi azotate compatibili con il genoma esistente. In questa tesi si prendono in esame quei modelli matematici che conservano un'importante proprietà, scoperta nel 1952 dal biochimico Erwin Chargaff, chiamata oggi "seconda regola di Chargaff". I modelli matematici che tengono conto delle simmetrie di Chargaff si dividono principalmente in due filoni: uno la ritiene un risultato dell'evoluzione sul genoma, mentre l'altro la ipotizza peculiare di un genoma primitivo e non intaccata dalle modifiche apportate dall'evoluzione. Questa tesi si propone di analizzare un modello del secondo tipo. In particolare ci siamo ispirati al modello definito da da Sobottka e Hart. Dopo un'analisi critica e lo studio del lavoro degli autori, abbiamo esteso il modello ad un più ampio insieme di casi. Abbiamo utilizzato processi stocastici come Bernoulli-scheme e catene di Markov per costruire una possibile generalizzazione della struttura proposta nell'articolo, analizzando le condizioni che implicano la validità della regola di Chargaff. I modelli esaminati sono costituiti da semplici processi stazionari o concatenazioni di processi stazionari. Nel primo capitolo vengono introdotte alcune nozioni di biologia. Nel secondo si fa una descrizione critica e prospettica del modello proposto da Sobottka e Hart, introducendo le definizioni formali per il caso generale presentato nel terzo capitolo, dove si sviluppa l'apparato teorico del modello generale.

APA, Harvard, Vancouver, ISO, and other styles

7

Li, Jianmin 1964. "Applications of Markovian Arrival Processes in Stochastic Models." Diss., The University of Arizona, 1996. http://hdl.handle.net/10150/565546.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Andersson, Håkan. "Limit theorems for some stochastic epidemic models." Stockholm : Stockholm University, 1994. http://catalog.hathitrust.org/api/volumes/oclc/40258819.html.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Wong, Ka-kuen, and 黃嘉權. "Stochastic models for customer relationship management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30289968.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Bataineh, Mohammad Saleh, University of Western Sydney, of Science Technology and Environment College, and of Science Food and Horticulture School. "Stochastic systems : models and polices [sic]." THESIS_CSTE_SFH_Bataineh_M.xml, 2001. http://handle.uws.edu.au:8081/1959.7/622.

Full text

Abstract:

In a multi-server system, probability distributions and loss probabilities for customers arriving with different priority categories are studied. Customers arrive in independent Poisson streams and their service times are exponentially distributed, with different rates for different priorities. The non-queuing customers will be lost if the capacity is fully occupied. In these systems, particularly for higher priority customers, the reduction of the loss probabilities is essential to guarantee the quality of the service. Four different policies for high and low priorities were introduced utilizing the fixed capacity of the system, producing different loss probabilities. The same policies were introduced in the case of a low priority being placed in the queue when the system is fully occupied. An application to the Intensive Care and Coronary Care Unit in Campbelltown Public Hospital in Sydney was introduced. This application analyses the admission and discharge by using queuing theory to develop a model which predicts the proportion of patients from each category that would be prematurely transferred as a function of the size of the unit, number of categories, mean arrival rates, and length of stay.
Master of Science (Hons)

APA, Harvard, Vancouver, ISO, and other styles

11

Chao, Chon Ip. "The simulations of Levy processes and stochastic volatility models." Thesis, University of Macau, 2009. http://umaclib3.umac.mo/record=b2130012.

Full text

APA, Harvard, Vancouver, ISO, and other styles

12

Shepherd, Tricia D. "Models for chemical processes : activated dynamics across stochastic potentials." Diss., Georgia Institute of Technology, 2002. http://hdl.handle.net/1853/27062.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Gander, Matthew Peter Sandford. "Inference for stochastic volatility models based on Lévy processes." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/8777.

Full text

Abstract:

The standard Black-Scholes model is a continuous time model to predict asset movement. For the standard model, the volatility is constant but frequently this model is generalised to allow for stochastic volatility (SV). As the Black-Scholes model is a continuous time model, it is attractive to have a continuous time stochastic volatility model and recently there has been a lot of research into such models. One of the most popular models was proposed by Barndorff-Nielsen and Shephard (2001b) (BNS), where the volatility follows an Ornstein-Uhlenbeck (OU) equation and is driven by a background driving Lévy process (BDLP). The correlation in the volatility decays exponentially and so the model is able to explain the volatility clustering present in many financial time series. This model is studied in detail, with assets following the Black-Scholes equation with the BNS SV model. Inference for the BNS SV models is not trivial, particularly when Markov chain Monte Carlo (MCMC) is used. This has been implemented in Roberts et al. (2004) and Griffin and Steel (2003) where a Gamma marginal distribution for the volatility is used. Their focus is on the difficult MCMC implementation and the performance of different proposals, mainly using training data generated from the model itself. In this thesis, the four main new contributions to the Black-Scholes equation with volatility following the BNS SV model are as follows:- (1) We perform the MCMC inference for generalised Inverse Gaussian and Tempered Stable marginal distributions, as well as the special cases, the Gamma, Positive Hyperbolic, Inverse Gamma and Inverse Gaussian distributions. (2) Griffin and Steel (2003) consider the superposition of several BDLPs to give quasi long-memory in the volatility process. This is computationally problematic and so we allow the volatility process to be non-stationary by allowing one of the parameters, which controls the correlation in the volatility process, to vary over time. This allows the correlation of the volatility to be non-stationary and further volatility clustering. (3) The standard Black-Scholes equation is driven by Brownian motion and a generalisation of this allowing for long-memory in the share equation itself (as opposed to the volatility equation), which is based on an approximation to fractional Brownian motion, is considered and implemented. (4) We introduce simulation methods and inference for a new class of continuous time SV models, with a more flexible correlation structure than the BNS SV model. For each of (1), (2) and (3), our focus is on the empirical performance of different models and whether such generalisations improve prediction of future asset movement. The models are tested using daily Foreign Exchange rate and share data for various different countries and companies.

APA, Harvard, Vancouver, ISO, and other styles

14

Leung, Ho-yin. "Stochastic models for optimal control problems with applications." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B42841781.

Full text

APA, Harvard, Vancouver, ISO, and other styles

15

Britton, Tom. "Epidemics with heterogeneous mixing stochastic models and statistical tests /." Stockholm : Dept. of Mathematics, Stockholm University, 1996. http://catalog.hathitrust.org/api/volumes/oclc/40258820.html.

Full text

APA, Harvard, Vancouver, ISO, and other styles

16

Leung, Ho-yin, and 梁浩賢. "Stochastic models for optimal control problems with applications." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B42841781.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

Löhr, Wolfgang. "Models of Discrete-Time Stochastic Processes and Associated Complexity Measures." Doctoral thesis, Universitätsbibliothek Leipzig, 2010. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-38267.

Full text

Abstract:

Many complexity measures are defined as the size of a minimal representation in a specific model class. One such complexity measure, which is important because it is widely applied, is statistical complexity. It is defined for discrete-time, stationary stochastic processes within a theory called computational mechanics. Here, a mathematically rigorous, more general version of this theory is presented, and abstract properties of statistical complexity as a function on the space of processes are investigated. In particular, weak-* lower semi-continuity and concavity are shown, and it is argued that these properties should be shared by all sensible complexity measures. Furthermore, a formula for the ergodic decomposition is obtained. The same results are also proven for two other complexity measures that are defined by different model classes, namely process dimension and generative complexity. These two quantities, and also the information theoretic complexity measure called excess entropy, are related to statistical complexity, and this relation is discussed here. It is also shown that computational mechanics can be reformulated in terms of Frank Knight's prediction process, which is of both conceptual and technical interest. In particular, it allows for a unified treatment of different processes and facilitates topological considerations. Continuity of the Markov transition kernel of a discrete version of the prediction process is obtained as a new result.

APA, Harvard, Vancouver, ISO, and other styles

18

Löhr, Wolfgang. "Models of Discrete-Time Stochastic Processes and Associated Complexity Measures." Doctoral thesis, Max Planck Institut für Mathematik in den Naturwissenschaften, 2009. https://ul.qucosa.de/id/qucosa%3A11017.

Full text

Abstract:

Many complexity measures are defined as the size of a minimal representation in a specific model class. One such complexity measure, which is important because it is widely applied, is statistical complexity. It is defined for discrete-time, stationary stochastic processes within a theory called computational mechanics. Here, a mathematically rigorous, more general version of this theory is presented, and abstract properties of statistical complexity as a function on the space of processes are investigated. In particular, weak-* lower semi-continuity and concavity are shown, and it is argued that these properties should be shared by all sensible complexity measures. Furthermore, a formula for the ergodic decomposition is obtained. The same results are also proven for two other complexity measures that are defined by different model classes, namely process dimension and generative complexity. These two quantities, and also the information theoretic complexity measure called excess entropy, are related to statistical complexity, and this relation is discussed here. It is also shown that computational mechanics can be reformulated in terms of Frank Knight''s prediction process, which is of both conceptual and technical interest. In particular, it allows for a unified treatment of different processes and facilitates topological considerations. Continuity of the Markov transition kernel of a discrete version of the prediction process is obtained as a new result.

APA, Harvard, Vancouver, ISO, and other styles

19

Eberz-Wagner, Dorothea M. "Discrete growth models /." Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/5797.

Full text

APA, Harvard, Vancouver, ISO, and other styles

20

Wilkinson, E. T. "Stochastic models for certain solid classification and solid fluid separation processes." Thesis, University of Manchester, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.384086.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Tranchida, Julien. "Multiscale description of dynamical processes in magnetic media : from atomistic models to mesoscopic stochastic processes." Thesis, Tours, 2016. http://www.theses.fr/2016TOUR4027/document.

Full text

Abstract:

Les propriétés magnétiques détaillées des solides peuvent être vu comme le résultat de l'interaction de plusieurs sous-systèmes: celui des spins effectifs, portant l'aimantation, celui des électrons et celui du réseau crystallin. Différents processus permettent à ces sous-systèmes d'échanger de l'énergie. Parmis ceux-ci, les phénomènes de relaxation jouent un rôle prépondérants. Cependant, la complexité de ces processus en rend leur modélisation ardue. Afin de prendre en compte ces interactions de façon abordable aux calculs, l'approche de Langevin est depuis longtemps appliquée à la dynamique d'aimantation, qui peut être vue comme la réponse collective des spins. Elle consiste à modéliser les interactions entre les trois sous-systèmes par des interactions effectives entre le sous-système d'intérêt, les spins, et un bain thermique, dont seulement la densité de probabilité constituerait une quantité pertinente. Après avoir présenté cette approche, nous verrons en quoi elle permet de bâtir une dynamique atomique de spin. Une fois son implémentation détaillée, cette méthodologie sera appliquée à un exemple tiré de la littérature et basé sur le superparamagnétisme de nanoaimants de fer
Detailed magnetic properties of solids can be regarded as the result of the interaction between three subsystems: the effective spins, that will be our focus in this thesis, the electrons and the crystalline lattice. These three subsystems exchange energy, in many ways, in particular, through relaxation processes. The nature of these processes remains extremely hard to understand, and even harder to simulate. A practical approach, for performing such simulations, involves adapting the description of random processes by Langevin to the collective dynamics of the spins, usually called the magnetization dynamics. It consists in describing the, complicated, interactions between the subsystems, by the effective interactions of the subsystem of interest, the spins, and a thermal bath, whose probability density is only of relevance. This approach allows us to interpret the results of atomistic spin dynamics simulations in appropriate macroscopic terms. After presenting the numerical implementation of this methodology, a typical study of a magnetic device based on superparamagnetic iron monolayers is presented, as an example. The results are compared to experimental data and allow us to validate the atomistic spin dynamics simulations

APA, Harvard, Vancouver, ISO, and other styles

22

Loddo, Antonello. "Bayesian analysis of multivariate stochastic volatility and dynamic models." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/4359.

Full text

Abstract:

Thesis (Ph.D.)--University of Missouri-Columbia, 2006.
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (April 26, 2007) Vita. Includes bibliographical references.

APA, Harvard, Vancouver, ISO, and other styles

23

Gong, Bo. "Numerical methods for backward stochastic differential equations with applications to stochastic optimal control." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/462.

Full text

Abstract:

The concept of backward stochastic differential equation (BSDE) was initially brought up by Bismut when studying the stochastic optimal control problem. And it has been applied to describe various problems particularly to those in finance. After the fundamental work by Pardoux and Peng who proved the well-posedness of the nonlinear BSDE, the BSDE has been investigated intensively for both theoretical and practical purposes. In this thesis, we are concerned with a class of numerical methods for solving BSDEs, especially the one proposed by Zhao et al.. For this method, the convergence theory of the semi-discrete scheme (the scheme that discretizes the equation only in time) was already established, we shall further provide the analysis for the fully discrete scheme (the scheme that discretizes in both time and space). Moreover, using the BSDE as the adjoint equation, we shall construct the numerical method for solving the stochastic optimal control problem. We will discuss the situation when the control is deterministic as well as when the control is feedback.

APA, Harvard, Vancouver, ISO, and other styles

24

Thompson, Mery H. "Optimum experimental designs for models with a skewed error distribution with an application to stochastic frontier models /." Connect to e-thesis, 2008. http://theses.gla.ac.uk/236/.

Full text

Abstract:

Thesis (Ph.D.) - University of Glasgow, 2008.
Ph.D. thesis submitted to the Faculty of Information and Mathematical Sciences, Department of Statistics, 2008. Includes bibliographical references. Print version also available.

APA, Harvard, Vancouver, ISO, and other styles

25

Abubakar, Usman. "A framework for stochastic modelling and optimisation of chemical engineering processes." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210072.

Full text

Abstract:

Uncertainties in chemical process performance behaviour continue to cause considerable concern to engineers and other stakeholders. The traditional deterministic uncertainty modelling methods lead to excess overdesign, which is expensive, and have also been shown to give limited insight into the behaviour of complex chemical engineering systems. The present work develops a new framework, termed “Stochastic Process Performance Modelling Framework (SPPMF)”, which combines traditional deterministic process simulation, response surface modelling techniques and advanced structural reliability analysis methods to facilitate efficient performance modelling and optimisation of chemical process systems under uncertainties. Cross application of structural reliability principles to chemical processes presents some challenges; however, means of addressing such issues are proposed and discussed in this thesis. For instance, to facilitate Process Reliability Analysis (PRA), stochastic constraints have been added to the conventional process optimisation formulation. Both first order reliability method and Monte Carlo simulation are then applied to gain a wide range of performance measures. In addition, to allow for automated response surface generation, an interface for linking process simulators and a new stochastic module has been developed; making it possible to obtain samples in the order of thousands, typically in minutes. A number of Structural Reliability Analysis (SRA) concepts have been re-defined to reflect the unique characteristics of chemical processes. For example, while SRA is mainly concerned with the effects of random forces and mechanical properties on structural performance, PRA is focused on random process conditions (e.g. changes in pH, reaction rates, etc) and their effects on both product quantity and quality. Finally, SPPMF has been successfully applied to model stochastic properties of a range of typical process systems. The results show that the new framework can be efficiently implemented in process engineering with significant benefits over the traditional methods. Limitations of SPPMF and directions for future work are also highlighted. This thesis contains commercially confidential information which should not be divulged to any third party without the written consent of the author.

APA, Harvard, Vancouver, ISO, and other styles

26

Chen, Koon-chuen. "Invariant limiting shape distributions for some sequential rectangular models /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B20998934.

Full text

APA, Harvard, Vancouver, ISO, and other styles

27

Liu, Hao. "Semiparametric marginal mean models for multivariate counting processes /." Thesis, Connect to this title online; UW restricted, 2004. http://hdl.handle.net/1773/9542.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Radtke, Paul Kaspar. "Mesoscopic Models of Stochastic Transport." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19152.

Full text

Abstract:

Transportphänomene treten in biologischen und künstlichen Systemen auf allen Längenskalen auf. In dieser Arbeit untersuchen wir sie für verschiedene Systeme aus einer mesoskopischen Perspektive, in der Fluktuationen physikalischer Größen um ihre Mittelwerte eine wichtige Rolle spielen. Im ersten Teil untersuchen wir die persistente Bewegung aktiver Brownscher Teilchen mit zusätzlichem Drehmoment, wie sie z.B. für Spermien oder Janus Teilchen auftritt. Wird ihre Bewegung auf einen Tunnel variierender Breite beschränkt, so setzt im thermischen Nichtgleichgewicht Transport ein; ungerichtete Fluktuationen des rauschhaften Antriebs werden gleichgerichtet. Hierdurch wird ein neuer Ratschentyp realisiert. Im zweiten Teil untersuchen wir den intrazellulären Cargotransport in den Axonen von Nervenzellen mithilfe molekularer Motoren. Sie werden als asymmetrischer Ausschlussprozess simuliert. Zusätzlich können die Cargos zwischen benachbarten Motoren ausgetauscht werden. Dadurch lassen sich charakteristische Eigenschaften des langsamen axonalen Transports mit einer einzigen Motorspezies reproduzieren. Bewerkstelligt wird dies durch die transiente Anbindung der Cargos an rückwärtslaufende Motorstaus. Im dritten Teil diskutieren wir resistive switching, die nicht volatile Widerstandsänderung eines Dielektrikums durch elektrische Impulse. Es wird für Anwendungen im Computerspeicher ausgenutzt, dem resistive RAM. Wir schlagen ein auf Sauerstoffvakanzen basierendes stochastisches Gitterhüpfmodell vor. Wir definieren binäre logische Zustände mit Hilfe der zugrunde liegenden Vakanzenverteilung und definieren Schreibe- und Leseoperationen durch Spannungsimpulse für ein solches Speicherelement. Überlegungen über die Unterscheidbarkeit dieser Operationen unter Fluktuationen zusammen mit der Deutlichkeit der unterschiedlichen Widerstandszustände selbst ermöglichen es uns, eine optimale Vakanzenzahl vorherzusagen.
Transport phenomena occur in biological and artificial systems at all length scales. In this thesis, we investigate them for various systems from a mesoscopic perspective, in which fluctuations around their average properties play an important role. In the first part, we investigate the persistent diffusive motion of active Brownian particles with an additional torque. It can appear in many real life systems, for example in sperm cells or Janus particles. If their motion is confined to a tunnel of varying width, transport arises out of thermal equilibrium; unbiased fluctuations of the noisy drive are rectified. This way, we have realized a novel kind of ratchet. In the second part, we study intracellular cargo transport in the axons of nerve cells by molecular motors. They are modeled by an asymmetric exclusion process. In a new approach, we add a cargo exchange interaction between the motors. This way, the characteristics of slow axonal transport can be accounted for with a single motor species. It is explained by the transient attachment of cargos to reverse walking motors jams. In the third part, we discuss resistive switching, the non-volatile change of resistance in a dielectric due to electric pulses. It is exploited for applications in computer memory, the resistive random access memory (ReRAM). We propose a stochastic lattice hopping model based on the on oxygen vacancies. We define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such a memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the resistive switching effect itself enable us to predict an optimal vacancy number.

APA, Harvard, Vancouver, ISO, and other styles

29

Burch, Mark G. "Statistical Methods for Network Epidemic Models." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1471613656.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

Yam, Ho-kwan, and 任浩君. "On a topic of generalized linear mixed models and stochastic volatility model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B29913342.

Full text

APA, Harvard, Vancouver, ISO, and other styles

31

Uyar, Emrah. "Routing in stochastic environments." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26554.

Full text

Abstract:

Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009.
Committee Co-Chair: Erera, Alan L.; Committee Co-Chair: Savelsbergh, Martin W. P.; Committee Member: Ergun, Ozlem; Committee Member: Ferguson, Mark; Committee Member: Kleywegt, Anton J.. Part of the SMARTech Electronic Thesis and Dissertation Collection.

APA, Harvard, Vancouver, ISO, and other styles

32

Nouri, Suhila Lynn. "Expected maximum drawdowns under constant and stochastic volatility." Link to electronic thesis, 2006. http://www.wpi.edu/Pubs/ETD/Available/etd-050406-151319/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

33

Bennett, Jonathan P. "Option pricing with stable-like processes in stochastic volatility models and its optimization." Thesis, Swansea University, 2006. https://cronfa.swan.ac.uk/Record/cronfa42512.

Full text

Abstract:

In this thesis we are concerned with the optimal control of jump type Stochastic Differential equations(SDEs), which we utilize to model the incomplete financial market. It is demonstrated how Levy type processes associated to general generators with variable coefficients can be linked to Levy processses with jumps in an abstract setting. Thus providing a useful way to deal with optimization problems where the financial market is being driven by a Levy type process. An application to two portfolio optimization problems will be made, initially set out in the abstract setting. Then with a special interest in modelling with stable-like processes we construct the coefficient of the jump term in the associated jump-type SDE, associated to a polar decomposed Levy measure, we are able to solve these optimization problems concretely.

APA, Harvard, Vancouver, ISO, and other styles

34

Zhang, Dongxiao. "Conditional stochastic analysis of solute transport in heterogeneous geologic media." Diss., The University of Arizona, 1993. http://hdl.handle.net/10150/186553.

Full text

Abstract:

This dissertation develops an analytical-numerical approach to deterministically predict the space-time evolution of concentrations in heterogeneous geologic media conditioned on measurements of hydraulic conductivities (transmissivities) and/or hydraulic heads. Based on the new conditional Eulerian-Lagrangian transport theory by Neuman, we solve the conditional transport problem analytically at early time, and express it in pseudo-Fickian form at late time. The stochastically derived deterministic pseudo-Fickian mean concentration equation involves a conditional, space-time dependent dispersion tensor. The latter not only depends on properties of the medium and the velocity but also on the available information, and can be evaluated numerically along mean "particle" trajectories. The transport equation lends itself to accurate solution by standard Galerkin finite elements on a relatively coarse grid. This approach allows computing without using Monte Carlo simulation and explicitly the following: Concentration variance/covariance (uncertainty), origin of detected contaminant and associated uncertainty, mass flow rate across a "compliance surface", cumulative mass release and travel time probability distribution across this surface, uncertainty associated with the latter, second spatial moment of conditional mean plume about its center of mass, conditional mean second spatial moment of actual plume about its center of mass, conditional co-variance of plume center of mass, and effect of non-Gaussian velocity distribution. This approach can also account for uncertainty in initial mass and/or concentration when predicting the future evolution of a plume, whereas almost all existing stochastic models of solute transport assume the initial state to be known with certainty. We illustrate this approach by considering deterministic and uncertain instantaneous point and nonpoint sources in a two-dimensional domain with a mildly fluctuating, statistically homogeneous, lognormal transmissivity field. We take the unconditional mean velocity to be uniform, but allow conditioning on log transmissivity and hydraulic head data. Conditioning renders the velocity field statistically nonhomogeneous with reduced variances and correlation scales, renders the predicted plume irregular and non-Gaussian, and generally reduces both predictive dispersion and uncertainty.

APA, Harvard, Vancouver, ISO, and other styles

35

Abou-Zeid, Al-Hussein A. "Stochastic models of congestion control in heterogeneous next generation packet networks /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/5994.

Full text

APA, Harvard, Vancouver, ISO, and other styles

36

Jang, Ji-Wook. "Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives." Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/1509/.

Full text

Abstract:

This dissertation presents pricing models for stop-loss reinsurance contracts for catastrophic events and for catastrophe insurance derivatives. We use doubly stochastic Poisson process or the Cox process for the claim arrival process for catastrophic events. The shot noise process is able to measure the frequency, magnitude and time period needed to determine the effect of the catastrophe. This process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the Cox process incorporating the shot noise process as its intensity to price stop-loss catastrophe reinsurance contracts and catastrophe insurance derivatives. In order to calculate fair prices for reinsurance contracts and catastrophe insurance derivatives we need to assume that there is an absence of arbitrage opportunities in the market. This can be achieved by using an equivalent martingale probability measure in our pricing models. The Esscher transform is used to change probability measure. The dissertation also shows how to estimate the parameters of claim intensity using the likelihood function. In order to estimate the distribution of claim intensity, state estimation is employed as well. Since the claim intensity is not observable we filter it out on the basis of the number of claims, i.e. we employ the Kalman-Bucy filter. We also derive pricing formulae for stop-loss reinsurance contracts for catastrophic events using the distribution of claim intensity that is obtained by the Kalman-Bucy filter. Both estimations are essential in pricing stop-loss reinsurance contracts and catastrophe insurance derivatives.

APA, Harvard, Vancouver, ISO, and other styles

37

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 text

Abstract:

This thesis explores the stochastic features of models of ecological systems in discrete and in continuous time. Our interest lies in models formulated at the microscale, from which a mesoscopic description can be derived. The stochasticity present in the models, constructed in this way, is intrinsic to the systems under consideration and stems from their finite size. We start by exploring a susceptible-infectious-recovered model for epidemic spread on a network. We are interested in the case where the connectivity, or degree, of the individuals is characterised by a very broad, or heterogeneous, distribution, and in the effects of stochasticity on the dynamics, which may depart wildly from that of a homogeneous population. The model at the mesoscale corresponds to a system of stochastic differential equations with a very large number of degrees of freedom which can be reduced to a two-dimensional model in its deterministic limit. We show how this reduction can be carried over to the stochastic case by exploiting a time-scale separation in the deterministic system and carrying out a fast-variable elimination. We use simulations to show that the temporal behaviour of the epidemic obtained from the reduced stochastic model yields reasonably good agreement with the microscopic model under the condition that the maximum allowed degree that individuals can have is not too close to the population size. This is illustrated using time series, phase diagrams and the distribution of epidemic sizes. The general mesoscopic theory used in continuous-time models has only very recently been developed for discrete-time systems in one variable. Here, we explore this one-dimensional theory and find that, in contrast to the continuous-time case, large jumps can occur between successive iterates of the process, and this translates at the mesoscale into the need for specifying `boundary' conditions everywhere outside of the system. We discuss these and how to implement them in the stochastic difference equation in order to obtain results which are consistent with the microscopic model. We then extend the theoretical framework to make it applicable to systems containing an arbitrary number of degrees of freedom. In addition, we extend a number of analytical results from the one-dimensional stochastic difference equation to arbitrary dimension, for the distribution of fluctuations around fixed points, cycles and quasi-periodic attractors of the corresponding deterministic map. We also derive new expressions, describing the autocorrelation functions of the fluctuations, as well as their power spectrum. From the latter, we characterise the appearance of noise-induced oscillations in systems of dimension greater than one, which have been previously observed in continuous-time systems and are known as quasi-cycles. Finally, we explore the ability of intrinsic noise to induce chaotic behaviour in the system for parameter values for which the deterministic map presents a non-chaotic attractor; we find that this is possible for periodic, but not for quasi-periodic, states.

APA, Harvard, Vancouver, ISO, and other styles

38

Cobanov, Branislav. "Stochastic control of animal diets optimal sampling schedule and diet optimization /." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155661130.

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

Hashad, Atalla I. "Analysis of non-Gaussian processes using the Wiener model of discrete nonlinear systems." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 1994. http://handle.dtic.mil/100.2/ADA297343.

Full text

Abstract:

Dissertation (Ph. D. in Electrical Engineering) Naval Postgraduate School, December 1994.
"December 1994." Dissertation supervisor(s): Charles W. Therrien. Includes bibliographical references. Also available online.

APA, Harvard, Vancouver, ISO, and other styles

40

Breen, Barbara J. "Computational nonlinear dynamics monostable stochastic resonance and a bursting neuron model /." Diss., Available online, Georgia Institute of Technology, 2004:, 2003. http://etd.gatech.edu/theses/available/etd-04082004-180036/unrestricted/breen%5Fbarbara%5Fj%5F200312%5Fphd.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Yuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.

Full text

Abstract:

This thesis presents the modeling of credit risk by using structural approach. Three fundamental questions of credit risk literature are analyzed throughout the research: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.

APA, Harvard, Vancouver, ISO, and other styles

42

Bruna, Maria. "Excluded-volume effects in stochastic models of diffusion." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:020c2d3e-5fef-478c-9861-553cd310daf5.

Full text

Abstract:

Stochastic models describing how interacting individuals give rise to collective behaviour have become a widely used tool across disciplines—ranging from biology to physics to social sciences. Continuum population-level models based on partial differential equations for the population density can be a very useful tool (when, for large systems, particle-based models become computationally intractable), but the challenge is to predict the correct macroscopic description of the key attributes at the particle level (such as interactions between individuals and evolution rules). In this thesis we consider the simple class of models consisting of diffusive particles with short-range interactions. It is relevant to many applications, such as colloidal systems and granular gases, and also for more complex systems such as diffusion through ion channels, biological cell populations and animal swarms. To derive the macroscopic model of such systems, previous studies have used ad hoc closure approximations, often generating errors. Instead, we provide a new systematic method based on matched asymptotic expansions to establish the link between the individual- and the population-level models. We begin by deriving the population-level model of a system of identical Brownian hard spheres. The result is a nonlinear diffusion equation for the one-particle density function with excluded-volume effects enhancing the overall collective diffusion rate. We then expand this core problem in several directions. First, for a system with two types of particles (two species) we obtain a nonlinear cross-diffusion model. This model captures both alternative notions of diffusion, the collective diffusion and the self-diffusion, and can be used to study diffusion through obstacles. Second, we study the diffusion of finite-size particles through confined domains such as a narrow channel or a Hele–Shaw cell. In this case the macroscopic model depends on a confinement parameter and interpolates between severe confinement (e.g., a single- file diffusion in the narrow channel case) and an unconfined situation. Finally, the analysis for diffusive soft spheres, particles with soft-core repulsive potentials, yields an interaction-dependent non-linear term in the diffusion equation.

APA, Harvard, Vancouver, ISO, and other styles

43

Stewart, Alistair Mark. "Efficient algorithms for infinite-state recursive stochastic models and Newton's method." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/10001.

Full text

Abstract:

Some well-studied infinite-state stochastic models give rise to systems of nonlinear equations. These systems of equations have solutions that are probabilities, generally probabilities of termination in the model. We are interested in finding efficient, preferably polynomial time, algorithms for calculating probabilities associated with these models. The chief tool we use to solve systems of polynomial equations will be Newton’s method as suggested by [EY09]. The main contribution of this thesis is to the analysis of this and related algorithms. We give polynomial-time algorithms for calculating probabilities for broad classes of models for which none were known before. Stochastic models that give rise to such systems of equations include such classic and heavily-studied models as Multi-type Branching Processes, Stochastic Context- Free Grammars(SCFGs) and Quasi Birth-Death Processes. We also consider models that give rise to infinite-state Markov Decision Processes (MDPs) by giving algorithms for approximating optimal probabilities and finding policies that give probabilities close to the optimal probability, in several classes of infinite-state MDPs. Our algorithms for analysing infinite-state MDPs rely on a non-trivial generalization of Newton’s method that works for the max/min polynomial systems that arise as Bellman optimality equations in these models. For SCFGs, which are used in statistical natural language processing, in addition to approximating termination probabilities, we analyse algorithms for approximating the probability that a grammar produces a given string, or produces a string in a given regular language. In most cases, we show that we can calculate an approximation to the relevant probability in time polynomial in the size of the model and the number of bits of desired precision. We also consider more general systems of monotone polynomial equations. For such systems we cannot give a polynomial-time algorithm, which pre-existing hardness results render unlikely, but we can still give an algorithm with a complexity upper bound which is exponential only in some parameters that are likely to be bounded for the monotone polynomial equations that arise for many interesting stochastic models.

APA, Harvard, Vancouver, ISO, and other styles

44

Yin, Chuancun. "From a linear birth-growth model to insurance risk models with applications to finance." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/339.

Full text

APA, Harvard, Vancouver, ISO, and other styles

45

Costa, Marcelo Rocha. "Cooperative models of stochastic growth : on a class of reinforced processes with graph-based interactions." Thesis, Durham University, 2018. http://etheses.dur.ac.uk/12589/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

46

Bolton, Alexander. "Bayesian change point models for regime detection in stochastic processes with applications in cyber security." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/48484.

Full text

Abstract:

Some important cyber security data can be modelled using stochastic processes that undergo changes in behaviour over time. Consider a piece of malicious software (malware) that performs different functions as it runs. Data obtained from this software switch between different behaviours that correspond to different functions. Coders create new strains of similar malware by making minor changes to existing malware; these new samples cannot be detected by methods that only identify whether an exact executable file has been seen before. Comparing data from new malware and existing malware, in order to detect similar behaviours, is a cyber security challenge. Methods that can detect these similar behaviours are used to identify similar malware samples. This thesis presents a generalised change point model for stochastic processes that includes regimes, i.e. recurring parameters. For generality the stochastic processes are assumed to be multivariate. A new reversible jump Markov chain Monte Carlo (RJMCMC) sampler is presented for inferring model parameters. The number of change points or regimes need not be specified before inference as the RJMCMC sampler allows these to be inferred. The RJMCMC sampler is applied in different contexts, including estimating malware similarity. A new sequential Monte Carlo (SMC) sampler is also presented. Like the RJMCMC sampler, the SMC sampler infers change points and regimes, but the SMC inference is computed online. The SMC sampler is also applied to detect regimes in a variety of contexts, including connections made in a computer network.

APA, Harvard, Vancouver, ISO, and other styles

47

Ashcroft, Peter. "The statistical physics of fixation and equilibration in individual-based models." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/the-statistical-physics-of-fixation-and-equilibration-in-individualbased-models(abf02d9b-7cf3-4c81-a0cd-1d0f4d3c5961).html.

Full text

Abstract:

Individual-based models have been applied to study a broad spectrum of problems across multiple disciplines, such as the spread of epidemics or the outcome of social dilemma. They are used to investigate the macroscopic effects that arise from the microscopic dynamics of interacting individuals. Fixation describes the taking over of the population by a single type of individual or species. It is a prominent feature in the field of population genetics, which interprets many biological scenarios of evolution. Equilibration describes the process of reaching a heterogeneous steady state. In this thesis we analyse these macroscopic features through techniques derived from statistical physics and the theory of stochastic processes. Birth-death processes are used to describe the interaction of two types of individual in a population, such as competing strains of bacteria. These interactions are often specified using the framework of evolutionary game theory. The environment in which the population evolves can have a crucial impact on selection. In systems where the environment switches between multiple states we develop a general theory to calculate the fixation time statistics of a mutant individual in a population of wild-types, as well as the stationary distributions when mutations are present in the dynamics. In some birth--death processes, and in particular those described by evolutionary game theory, the mean fixation time contains only limited information. By diagonalising the master equation that describes the process, we are able to obtain closed-form expressions for the complete fixation time distributions. Individual-based models can also be used to describe the accumulation of mutations in a cell. This has important consequences for the initiation and progression of cancer. We find that such systems exhibit metastable states in the dynamics, and we can exploit the separation of timescales between relaxing to the quasi-stationary state and reaching fixation to characterise these phenomena. In this scenario we employ the WKB method to describe the population-level dynamics. Although this method has been used to describe numerous stochastic processes, a clear and coherent description is lacking in the literature. Through the use of multiple examples, including the aforementioned cancer initiation model, we carefully explain the multitude of constructs and equations that result from the application of this methodThe analytical characterisation of the evolutionary dynamics that are observed in these stochastic processes has resulted in a greater understanding of fixation and equilibration. This thesis promotes the benefits of analytical, or even semi-analytical methods, and on a more general level contributes toward a more complete understanding of evolutionary processes.

APA, Harvard, Vancouver, ISO, and other styles

48

Gehrmann, Helene. "Graphical Gaussian models with symmetries." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:5f69e996-3f8e-4bfa-891f-0e1ec8d0f9fb.

Full text

Abstract:

This thesis is concerned with graphical Gaussian models with equality constraints on the concentration or partial correlation matrix introduced by Højsgaard and Lauritzen (2008) as RCON and RCOR models. The models can be represented by vertex and edge coloured graphs G = (V,ε), where parameters associated with equally coloured vertices or edges are restricted to being identical. In the first part of this thesis we study the problem of estimability of a non-zero model mean μ if the covariance structure Σ is restricted to satisfy the constraints of an RCON or RCOR model but is otherwise unknown. Exploiting results in Kruskal (1968), we obtain a characterisation of suitable linear spaces Ω such that if Σ is restricted as above, the maximum likelihood estimator μ(with circumflex) and the least squares estimator μ* of μ coincide for μ ∈ Ω, thus allowing μ and Σ to be estimated independently. For the special case of Ω being specified by equality relations among the entries of μ according to a partition M of the model variables V, our characterisation translates into a necessary and sufficient regularity condition on M and (V,ε). In the second part we address model selection of RCON and RCOR models. Due to the large number of models, we study the structure of four model classes lying strictly within the sets of RCON and RCOR models, each of which is defined by desirable statistical properties corresponding to colouring regularity conditions. Two of these appear in Højsgaard and Lauritzen (2008), while the other two arise from the regularity condition ensuring equality of estimators μ(with circumflex) = μ* we find in the first part. We show each of the colouring classes to form complete lattices, which qualifies the corresponding model spaces for an Edwards-Havránek model selection procedure (Edwards and Havránek, 1987). We develop a coresponding algorithm for one of the model classes and give an algorithm for a systematic search in accordance with the Edwards-Havránek principles for a second class. Both are applied to data sets previously analysed in the literature, with very encouraging performances.

APA, Harvard, Vancouver, ISO, and other styles

49

Lewis, Arthur M. "Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics." PDXScholar, 1995. https://pdxscholar.library.pdx.edu/open_access_etds/5056.

Full text

Abstract:

Novel seasonal hidden Markov models (SHMMs) for stochastic time series with periodically varying characteristics are developed. Nonlinear interactions among SHMM parameters prevent the use of the forward-backward algorithms which are usually used to fit hidden Markov models to a data sequence. Instead, Powell's direction set method for optimizing a function is repeatedly applied to adjust SHMM parameters to fit a data sequence. SHMMs are applied to a set of meteorological data consisting of 9 years of daily rain gauge readings from four sites. The fitted models capture both the annual patterns and the short term persistence of rainfall patterns across the four sites.

APA, Harvard, Vancouver, ISO, and other styles

50

Voßhall, Robert [Verfasser]. "Sticky Reflected Diffusion Processes : In view of Stochastic Interface Models and on General Domains / Robert Voßhall." München : Verlag Dr. Hut, 2016. http://d-nb.info/109781792X/34.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic 'Stochastic processes Mathemetical models'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles