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1
Schmitz, Volker. "Copulas and stochastic processes." [S.l.] : [s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=972691669.
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2
Gagliardini, Lucia. "Chargaff symmetric stochastic processes." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8699/.
Повний текст джерелаАнотація:
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.
3
Noble, Patrick. "Stochastic processes in Astrophysics." Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/10013.
Повний текст джерелаАнотація:
This thesis makes two contributions to the solar literature. The first is the development and application of a formal statistical framework for describing short-term (daily) variation in the level of magnetic activity on the Sun. Modelling changes on this time-scale is important because rapid developments of magnetic structures on the sun have important consequences for the space weather experienced on Earth (Committee On The Societal & Economic Impacts Of Severe Space Weather Events, 2008). The second concerns how energetic particles released from the Sun travel through the solar wind. The contribution from this thesis is to resolve a mathematical discrepancy in theoretical models for the transport of charged particles.
4
Catalão, André Borges [UNESP]. "Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston." Universidade Estadual Paulista (UNESP), 2010. http://hdl.handle.net/11449/88592.
Повний текст джерелаАнотація:
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catalao_ab_me_ift.pdf: 811288 bytes, checksum: d4e34c59801bd92233bc9f26884a19ab (MD5)Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo
In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model
5
Blackmore, Robert Sidney. "Theoretical studies in stochastic processes." Thesis, University of British Columbia, 1985. http://hdl.handle.net/2429/25554.
Повний текст джерелаАнотація:
A general method of analysis of a variety of stochastic processes in terms of probability density functions (PDFs) is developed and applied to several model as well as physically realistic systems. A model for diffusion in a bistable potential is the first system considered. The time dependence of the PDF for this system is described by a Fokker-Planck equation with non-linear coefficients. A numerical procedure is developed for finding the solution of this class of Fokker-Planck equations. The solution of the Fokker-Planck equation is obtained in terms of an eigenfunction expansion. The numerical procedure provides an efficient method of determining the eigenfunctions and eigenvalues of Fokker-Planck operators.
The methods developed in the study of the model system are then applied to the trans-gauche isomerization of n-butane in CC1₄. This system is studied with the use of Kramers equation to describe the time evolution of the PDF. It is found that at room temperature the isomerization rate obeys a first order rate law. The rate constant for this system is sensitive to the collision frequency between the the n-butane and CC1₄ as has been previously suggested. It is also found that transition state theory underestimates the rate constant at all collision frequencies. However, the activation energy given by transition state theory is consistent with the activation energy obtained in this work. The problem of the escape of light constituents from planetary atmospheres is also considered. Here, the primary objective is to construct a collisional kinetic theory of planetary exospheres based on a rigorous solution of the Boltzmann equation. It is shown that this problem has many physical and mathematical similarities with the problems previously considered. The temperature and density profiles of light gases in the exosphere as well as their escape fluxes are calculated. In the present work, only a thermal escape mechanism was considered, although it is shown how non-thermal escape mechanisms may be included. In addition, these results are compared with various Monte-Carlo calculations of escape fluxes.Science, Faculty of
Chemistry, Department of
Graduate
6
Cole, D. J. "Stochastic branching processes in biology." Thesis, University of Kent, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270684.
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7
Herbert, Julian Richard. "Stochastic processes for parasite dynamics." Thesis, University College London (University of London), 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368164.
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Gillespie, Colin Stevenson. "Counting statistics of stochastic processes." Thesis, University of Strathclyde, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273432.
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9
Ortgiese, Marcel. "Stochastic processes in random environment." Thesis, University of Bath, 2009. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507234.
Повний текст джерелаАнотація:
We are interested in two probabilistic models of a process interacting with a random environment. Firstly, we consider the model of directed polymers in random environment. In this case, a polymer, represented as the path of a simple random walk on a lattice, interacts with an environment given by a collection of time-dependent random variables associated to the vertices. Under certain conditions, the system undergoes a phase transition from an entropy-dominated regime at high temperatures, to a localised regime at low temperatures. Our main result shows that at high temperatures, even though a central limit theorem holds, we can identify a set of paths constituting a vanishing fraction of all paths that supports the free energy. We compare the situation to a mean-field model defined on a regular tree, where we can also describe the situation at the critical temperature. Secondly, we consider the parabolic Anderson model, which is the Cauchy problem for the heat equation with a random potential. Our setting is continuous in time and discrete in space, and we focus on time-constant, independent and identically distributed potentials with polynomial tails at infinity. We are concerned with the long-term temporal dynamics of this system. Our main result is that the periods, in which the profile of the solutions remains nearly constant, are increasing linearly over time, a phenomenon known as ageing. We describe this phenomenon in the weak sense, by looking at the asymptotic probability of a change in a given time window, and in the strong sense, by identifying the almost sure upper envelope for the process of the time remaining until the next change of profile. We also prove functional scaling limit theorems for profile and growth rate of the solution of the parabolic Anderson model.
10
Turner, Amanda Georgina. "Scaling limits of stochastic processes." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612995.
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11
Beal, Joshua M. "Matching Problems for Stochastic Processes." Ohio University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1367500889.
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12
CAZZANIGA, PAOLO. "Stochastic algorithms for biochemical processes." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/7820.
Повний текст джерелаАнотація:
After the completion of the human genome sequencing (and of a lot of other genomes), the main challenge for the modern biology is to understand complex biological processes such as metabolic pathways, gene regulatory networks and cell signalling pathways, which are the basis of the functioning of living cells. This goal can only be achieved by using mathematical modelling tools and computer simulation techniques, to integrate experimental data and to make predictions on the system behaviour that will be then experimentally checked, so as to gain insights into the working and the general principles of organization of biological systems.
In the study of biological systems, the use of stochastic methods is motivated by the fact that these systems are usually composed by many chemical interactions among a large number of chemical species, but the molecular quantities involved can be small (few tens of molecules), and the noise plays a major role in the system’s dynamics.
One major problem related to stochastic methods is that they are difficult to implement analytically; hence, they are implemented by means of numerical simulations whose computation time is usually very expensive.
In this thesis we provide a discrete and stochastic framework for the modelling, simulation and analysis of biological and chemical systems, which overcomes the limitations of a variant of membrane systems, called DPPs, and of the classic stochastic algorithms. This novel method combines, in particular, the descriptive power of DPPs with the efficiency of tau-leaping algorithm. This approach, called tau-DPP, exploits the membrane structure and the system definition of DPPs, with the aim of describing multiple volume systems, and uses a modified version of the tau-leaping algorithm for the efficient description of the system behaviour. The framework of tau-DPP has been applied to ecological, biological and chemical systems.
In general, the study of such kind of models requires the knowledge of many numerical factors for a complete and accurate description of biological systems, like molecular species quantities and reaction rates, which represent an indispensable quantitative information to perform computational investigations of the system behaviour. The lack and the inaccuracy of these information bring about the challenging problem of developing suitable techniques to automatically estimate the correct values to all parameters in order to reproduce the expected dynamics in the best possible way.
In this thesis, we consider the application of two optimisation techniques, genetic algorithms and particle swarm optimizer, to tackle this problem. In particular, we test and compare the performances of genetic algorithms and particle swarm optimization to the aim of identify the most suitable optimisation technique for the parameter estimation.
Finally, the problem related to the exploration of the parameters space of a biochemical system is described. Usually, this kind of analysis is achieved by means of large numbers of independent simulations where each execution is performed with a particular parametrisation. To efficiently tackle this problem, we present the implementation of a parameter sweep application on a grid framework.
13
Sanyal, Suman. "Stochastic dynamic equations." Diss., Rolla, Mo. : Missouri University of Science and Technology, 2008. http://scholarsmine.mst.edu/thesis/pdf/Sanyal_09007dcc80519030.pdf.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Missouri University of Science and Technology, 2008.Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed August 21, 2008) Includes bibliographical references (p. 124-131).
14
Huang, Chueng-Chiu S. "Stochastic scheduling." Diss., Georgia Institute of Technology, 1991. http://hdl.handle.net/1853/24834.
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15
Abi, Jaber Eduardo. "Stochastic Invariance and Stochastic Volterra Equations." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED025/document.
Повний текст джерелаАнотація:
La présente thèse traite de la théorie des équations stochastiques en dimension finie. Dans la première partie, nous dérivons des conditions géométriques nécessaires et suffisantes sur les coefficients d’une équation différentielle stochastique pour l’existence d’une solution contrainte à rester dans un domaine fermé, sous de faibles conditions de régularité sur les coefficients.Dans la seconde partie, nous abordons des problèmes d’existence et d’unicité d’équations de Volterra stochastiques de type convolutif. Ces équations sont en général non-Markoviennes. Nous établissons leur correspondance avec des équations en dimension infinie ce qui nous permet de les approximer par des équations différentielles stochastiques Markoviennes en dimension finie.Enfin, nous illustrons nos résultats par une application en finance mathématique, à savoir la modélisation de la volatilité rugueuse. En particulier, nous proposons un modèle à volatilité stochastique assurant un bon compromis entre flexibilité et tractabilitéThe present thesis deals with the theory of finite dimensional stochastic equations.In the first part, we derive necessary and sufficient geometric conditions on the coefficients of a stochastic differential equation for the existence of a constrained solution, under weak regularity on the coefficients. In the second part, we tackle existence and uniqueness problems of stochastic Volterra equations of convolution type. These equations are in general non-Markovian. We establish their correspondence with infinite dimensional equations which allows us to approximate them by finite dimensional stochastic differential equations of Markovian type. Finally, we illustrate our findings with an application to mathematical finance, namely rough volatility modeling. We design a stochastic volatility model with an appealing trade-off between flexibility and tractability
16
Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.
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17
Taylor, Peter G. "Aspects of insensitivity in stochastic processes /." Title page, contents and summary only, 1987. http://web4.library.adelaide.edu.au/theses/09PH/09pht2451.pdf.
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18
Roelly, Sylvie. "Reciprocal processes : a stochastic analysis approach." Universität Potsdam, 2013. http://opus.kobv.de/ubp/volltexte/2013/6458/.
Повний текст джерелаАнотація:
Reciprocal processes, whose concept can be traced back to E. Schrödinger,
form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard.
19
Hellander, Stefan. "Stochastic Simulation of Reaction-Diffusion Processes." Doctoral thesis, Uppsala universitet, Avdelningen för beräkningsvetenskap, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-198522.
Повний текст джерелаАнотація:
Numerical simulation methods have become an important tool in the study of chemical reaction networks in living cells. Many systems can, with high accuracy, be modeled by deterministic ordinary differential equations, but other systems require a more detailed level of modeling. Stochastic models at either the mesoscopic level or the microscopic level can be used for cases when molecules are present in low copy numbers. In this thesis we develop efficient and flexible algorithms for simulating systems at the microscopic level. We propose an improvement to the Green's function reaction dynamics algorithm, an efficient microscale method. Furthermore, we describe how to simulate interactions with complex internal structures such as membranes and dynamic fibers. The mesoscopic level is related to the microscopic level through the reaction rates at the respective scale. We derive that relation in both two dimensions and three dimensions and show that the mesoscopic model breaks down if the discretization of space becomes too fine. For a simple model problem we can show exactly when this breakdown occurs. We show how to couple the microscopic scale with the mesoscopic scale in a hybrid method. Using the fact that some systems only display microscale behaviour in parts of the system, we can gain computational time by restricting the fine-grained microscopic simulations to only a part of the system. Finally, we have developed a mesoscopic method that couples simulations in three dimensions with simulations on general embedded lines. The accuracy of the method has been verified by comparing the results with purely microscopic simulations as well as with theoretical predictions.eSSENCE
20
Burgoyne, John. "Stochastic processes and database-driven musicology." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=107704.
Повний текст джерелаАнотація:
For more than a decade, music information science and musicology have been at what Nicholas Cook has described as a 'moment of opportunity' for collaboration on database-driven musicology. The literature contains relatively few examples of mathematical tools that are suitable for analysing temporally structured data like music, however, and there are surprisingly few large databases of music that contain information at the semantic levels of interest to musicologists. This dissertation compiles a bibliography of the most important concepts from probability and statistics for analysing musical data, reviews how previous researchers have used statistics to study temporal relationships in music, and presents a new corpus of carefully curated chord labels from more than 1000 popular songs from the latter half of the twentieth century, as ranked by Billboard magazine's Hot 100 chart. The corpus is based on a careful sampling methodology that maintained cost efficiency while ensuring that the corpus is well suited to drawing conclusions about how harmonic practises may have evolved over time and to what extent they may have affected songs' popularity. This dissertation also introduces techniques new to the musicological community for analysing databases of this size and scope, most importantly the Dirichlet-multinomial distribution and constraint-based structure learning for causal Bayesian networks. The analysis confirms some common intuitions about harmonic practises in popular music and suggests several intriguing directions for further research.Depuis plus d'une décennie, la science de l'information de la musique et la musicologie sont à ce que Nicholas Cook décrit comme "un moment clé" en ce qui concerne une collaboration pouvant mener à une réelle science de la musique fondé sur l'analyse de large quantité de données. Toutefois, la littérature comporte rélativement peu d'exemples d'outils mathématiques qui conviendraient à l'analyse des données qui, comme les données musicales, ont des dépendances temporelles, et il y a très peu de bases de données qui contiennent des informations avec la richesse sémantique intéressant d'ordinaire les musicologues. Cette thèse assemble une bibliographie des concepts les plus importants de la probabilité et de la statistique pour analyser les données musicales, revisite la manière dont les chercheurs précédents se servaient de la statistique pour étudier les rapports temporels, et présente un nouveau corpus soigneusement préparé contenant les transcriptions d'accords pour plus de 1000 chansons populaires de la deuxième moitié du XXe siècle, figurant du "Hot 100" de la revue Billboard. Le corpus résulte d'une méthodologie d'échantillonnage qui optimise les coûts et s'assure que le corpus conviendrait à tirer des conclusions montrant comment les pratiques harmoniques ont pu évoluer au fils du temps et dans quelle mesure elles peuvent avoir une incidence sur la popularité des chansons. Cette thèse introduit aussi quelques techniques qui sont nouvelles en musicologie pour analyser les bases de données d'une telle taille et d'une telle portée; les plus importantes parmi ces techniques sont la distribution multinomiale de Dirichlet et l'apprentissage via contraintes de structure des réseaux causaux de Bayes. L'analyse confirme quelques intuitions courantes concernant les pratiques harmoniques de la musique populaire et suggère quelques voies intéressantes pour la recherche à venir.
21
Schmitz, Volker [Verfasser]. "Copulas and Stochastic Processes / Volker Schmitz." Aachen : Shaker, 2003. http://d-nb.info/1179023064/34.
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22
Dong, Wen S. M. Massachusetts Institute of Technology. "Influence modeling of complex stochastic processes." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37386.
Повний текст джерелаАнотація:
Thesis (S.M.)--Massachusetts Institute of Technology, School of Architecture and Planning, Program in Media Arts and Sciences, 2006.Includes bibliographical references (leaves 75-76).
A complex stochastic process involving human behaviors or human group behaviors is computationally hard to model with a hidden Markov process. This is because the state space of such behaviors is often a Cartesian product of a large number of constituent probability spaces, and is exponentially large. A sample for those stochastic processes is normally composed of a large collection of heterogeneous constituent samples. How to combine those heterogeneous constituent samples in a consistent and stable way is another difficulty for the hidden Markov process modeling. A latent structure influence process models human behaviors and human group behaviors by emulating the work of a team of experts. In such a team, each expert concentrates on one constituent probability space, investigates one type of constituent samples, and/or employ one type of technique. An expert improves his work by considering the results from the other experts, instead of the raw data for them. Compared with the hidden Markov process, the latent structure influence process is more expressive, more stable to outliers, and less likely to overfit. It can be used to study the interaction of over 100 persons and get good results.
(cont.) This thesis is organized in the following way. Chapter 0 reviews the notation and the background concepts necessary to develop this thesis. Chapter 1 describes the intuition behind the latent structure influence process and the situations where it outperforms the other dynamic models. In Chapter 2, we give inference algorithms based on two different interpretations of the influence model. Chapter 3 applies the influence algorithms to various toy data sets and real-world data sets. We hope our demonstrations of the influence modeling could serve as templates for the readers to develop other applications. In Chapter 4, we conclude with the rationale and other considerations for influence modeling.
by Wen Dong.
S.M.
23
Yang, Ming Ph D. Massachusetts Institute of Technology. "Stochastic processes in T-cell signaling." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/76488.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Chemical Engineering, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 89-93).
T cells are orchestrators for adaptive immunity. Antigen recognition by T cells is mediated by the interactions between T-cell receptors (TCRs) and peptide-MHC (pMHC) molecules. How T cells can translate stimulatory external cues (e.g., TCRpMHC interactions where the peptides are derived from foreign proteins) to functional responses (e.g., proliferation), while not responding to self-pMHC has been a puzzle for decades. The ability to discriminate foreign antigens from self antigens demands extraordinary intricacy for the design and operation of signaling pathways. This problem is a special challenge since fluctuations at the microscopic level are ubiquitous in biochemical networks, due to stochastic nature of reactions and uncertainties in protein expressions. The prevalence of noise imposes further challenges for T cells to deliver biological functions reliably. The overarching theme of this thesis is to understand the role of stochasticity in T-cell signaling. Four problems have been selected for presentation in this thesis: 1. Fluctuation-driven transitions can drive cellular systems out of stable states and lead to spurious responses. We proposed a theoretical and computational framework to identify key reactions or species that are responsible for regulating such stochastic transitions. The identification of these critical components for network stability not only pinpoints key deleterious protein mutations, but also helps intelligently select drug targets. The semi-analytical method we derived using large-deviation theory and calculus of variations agrees well with computational costly brute-force simulations. Additionally, our framework unveils qualitative characteristics of key reactions regulating stochastic transitions. We believe that we have developed the first method to carry out fully stochastic sensitivity analyses using analytical calculations. 2. In collaboration with Dr. Jeroen Roose's lab at UCSF, we investigated the roles of RasGRP and SOS in the activation of ERK and P38 MAP kinase pathways. We extended established computational models developed in our lab and predicted that SOS' allosteric pocket is important for the magnitude and bimodal pattern of ERK activation, which was confirmed experimentally. The synergy between computational modeling and experimental studies enabled us to propose mechanistic models that incorporate features such as co-operativity and non-linearity thresholding to study P38 activation. These models were consistent with the experimental findings that SOS is preferentially more important than RasGRP for Rac-P38 activation and SOS' allosteric pocket has little effect on Rac-P38 pathways, and also generated numerous experimentally testable hypotheses. 3. While rare events, such as escapes from stable basins, take a long time (waiting time) to occur, they take little time to complete once they have started. We showed that for Markov processes characterized by detailed balance, successful transitions, on average, complete exactly as quickly as transitions in the opposite (non-rare) direction. We first provide a general proof by invoking time reversibility, and then elaborate the proof by considering two specific dynamics, namely, continuous-time Markov Chains with detailed balance and one-dimensional Langevin Dynamics. We employ ideas from measure theory and stochastic calculus. We conclude that rare events, once they happen, happen quickly, and speculate about extensions to nonequilibrium systems, such as viral escape. 4. While microscopic fluctuations complicate reliable functioning of biochemical networks, stochastic noise also offers enormous information about the underlying network that generates such noise. We present an effort to exploit the non-random structure of random noise for network topology identification. In particular, we applied linear noise approximations to two three-node network motifs, namely, incoherent feed-forward loop (IFF) and negative feedback loop (NFB), and obtained correlation functions governing the fluctuations of species copy numbers at steady state. We identified two signatures that can be used to discriminate IFF from NFB. This endeavor represents a first step toward understanding how, and to what extent, time-series data with fine time and length resolutions can be used to infer network structures.
by Ming Yang.
Ph.D.
24
Adekola, Olatunde Adetoyese. "Asymptomatic posterior normality for stochastic processes." Thesis, University of Surrey, 1987. http://epubs.surrey.ac.uk/847129/.
Повний текст джерелаАнотація:
The problem of demonstrating the limiting normality of posterior distributions arising from stochastic processes and allied results are reconsidered. We present a fairly general set of conditions for asymptotic posterior normality which covers a wide class of problems. The single and multiparameter cases are both treated. One important difference between the conditions presented here and those of other authors (for example, Heyde and Johnstone (1979), hereafter referred to as H-J) is the use of a shrinking neighbourhood for asymptotic continuity of information, whereas in H-J (1979) a fixed neighbourhood is taken. Some examples to illustrate the importance of this study are considered in detail and this embraces diverse areas of application. Apart from a sequence of constants that is used to measure the order of Fisher's observed information, the uniformity requirement (which may be dropped for some ergodic models) allows us to dispense with further conditions regarding moments of the first and second derivatives of log-likelihood. We obtain the fundamental Bernstein Von Mises theorem in the asymptotic theory of Bayesian inference for stochastic processes. As an application of the theorem, we obtain asymptotic properties of Bayes' estimators for a suitable class of loss functions and show that the maximum likelihood estimator and Bayes estimator are asymptoticaly equivalent. Apart from obtaining some sufficient conditions under which one canobtain asymptotic posterior normality for evolutive processes, such as non-homogeneous Poisson processes and non-homogeneous birth processess, we also present and discuss some sufficient conditions for generalised linear models and other ergodic processes. We also discuss some relationships between our conditions and those imposed by earlier authors. Finally, we discuss the rate of convergence of posterior distributions to the normal distribution, some open problems and scope for further research.
25
Bron, Emeric. "Stochastic processes in the interstellar medium." Paris 7, 2014. http://www.theses.fr/2014PA077169.
Повний текст джерелаАнотація:
Mon travail de thèse a porté sur la modélisation du milieu interstellaire (MIS) froid, et plus particulièrement sur deux problèmes qui peuvent sembler sans lien au premier abord. Le premier concerne la formation de H2 sur les grains de poussière interstellaires. Il est en effet crucial de comprendre précisément le taux de formation de H2 et son abondance, dont dépend tout développement d'une chimie plus complexe, et qui contrôle également une partie de la physique du gaz interstellaire. Mais les petits grains (moins de 10 nm) sont sensibles à l'énergie des photons UV individuels et leur température fluctue donc constamment. Les processus de surface qui forment H2, étant sensibles à la température de la surface, sont alors maintenus hors d'équilibre par ces fluctuations, un effet très peu étudié jusqu'à présent. J'ai donc développé un formalisme exact de résolution de l'équilibre statistique de ce système, et implémenté sa résolution numérique. Entre autres résultats, la prise en compte des fluctuations cause d'importantes différences pour le mécanisme de Langmuir-Hinshelwood, avec une efficacité fortement augmentée dans le gaz atomique, et réduite à l'intérieur des nuages moléculaires. Le second problème est lié à l'omniprésence observée de molécules telles que CH+, dont la formation est très endothermique, dans le MIS diffus où les températures observées (moins de 100 K) sont insuffisantes pour permettre leur formation. Il a été proposé que l'énergie nécessaire à leur formation puisse provenir de la dissipation intermittente de la turbulence, créant des points chauds dans le gaz qui pourraient aussi expliquer l'excitation rotationnelle de H2 observée dans ces régions. Aux plus petites échelles de la cascade turbulente, le gaz est donc soumis à une injection d'énergie dont le taux fluctue fortement. Je propose un modèle de l'évolution lagrangienne de l'état physico-chimique du gaz basé sur des processus aléatoires, et montre son application au calcul de la distribution de température du gaz dans le milieu diffus atomique, ainsi qu'au calcul de l'excitation moyenne de H2 dans le milieu diffus moléculaire. Ces deux problèmes sont donc similaires à un niveau plus abstrait en ce qu'ils portent sur des systèmes dont l'état est perturbé par de grandes fluctuations de leur environnement. Afin de calculer l'équilibre statistique dans nos deux cas, des méthodes similaires sont utilisées, basées sur le formalisme des processus aléatoires (markoviens). Les résultats obtenus ici démontrent l'intérêt de la méthode, et des développements en vue d'autres applications sont discutés. Enfin, je présente également la modélisation à l'aide du code PDR de Meudon de la PDR NGC7023 Nord-Ouest. La comparaison à des observations Herschel montre l'excellente capacité du code PDR à reproduire les observables dans des PDR denses et intensesIn this thesis, I have tackled two seemingly unrelated problems in the modeling of the neutral interstellar medium (ISM). The first is the description of H2 formation on interstellar dust grains under realistic conditions. The precise determination of the H2 formation rate and abundance is crucial, as it controls most of the subséquent development of the chemical complexity in the ISM, as well as part of its physics. The temperature of small grains (less than 10 nm) fluctuâtes constantly as those grains are sensitive to the energy of individual UV photons, and the surface mechanisms of H2 formation, which are sensitive to the grain temperature, are kept out of equilibrium by the fluctuations. I have developed an exact resolution formalism for the statistical equilibrium of this system, and implemented its numerical resolution. Among other results, taking the fluctuations into account leads to large differences for the Langmuir-Hinshelwood mechanism, whose efficiency is increased in atomic gas and decreased inside molecular gas. The second problem is related to the ubiquitous presence of molecules such as CH+, whose formation is highly endothermic, in the diffuse ISM where the observed gas temperature (less than 100 K) is insufficient to trigger their formation. It has been proposed that the intermittent dissipation of turbulence could inject the necessary energy, creating hot spots, which could also explain the observed rotational excitation of H2 in such regions. At small scales, the gas is thus perturbed by strong fluctuations of the energy injection rate. I propose a model for the Lagrangian evolution the local physico-chemical state of the gas based on stochastic processes, and apply it to derive the distribution of the gas temperature in the diffuse atomic medium, and the average excitation of H2 in the diffuse molecular gas. Both problems are thus similar and can be described in a more abstract way as systems whose state is perturbed by strong fluctuations of their environment. In order to derive the statistical equilibrium of the system in our two cases, similar methods are used based on the framework of (markovian) stochastic processes. The results obtained here demonstrate the usefulness of this approach, and possible developments for other applications are discussed. Finally, I also present the modeling of the PDR NGC7023 Northwest with the Meudon PDR Code in comparison to Hershel observations, showing the excellent capacity of the Meudon PDR Code to reproduce the observables in dense and intense PDRs
26
Swanson, Jason. "Variations of stochastic processes : alternative approaches /." Thesis, Connect to this title online; UW restricted, 2004. http://hdl.handle.net/1773/5733.
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Pignotti, Michele <1990>. "Averaged stochastic processes and Kolmogorov operators." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amsdottorato.unibo.it/8569/7/tesi_finale.pdf.
Повний текст джерелаАнотація:
In this thesis we study a class of multidimensional stochastic processes in
which a component is the time integral of another. Our interest stems both
from the great variety of applications and the challenging structure of the
related Kolmogorov backward operators. In fact, while such processes are
widely used in physics and finance, the natural geometric framework to study
them is considerably far from the standard Euclidean one and still vague. We
wish to clarify it developing a new notion of Hölder spaces of any order and
proving a Taylor type formula for functions on them. As applications, we
prove an error estimate for an asymptotic expansion arising in studying Asian
financial options and we also present and analytically investigate a new model
for mine valuation.
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Bassis, S. "Identifying Stochastic Processes through Algorithmic Inference." Doctoral thesis, Università degli Studi di Milano, 2006. http://hdl.handle.net/2434/56223.
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Spring, William Joseph. "A quantum stochastic calculus." Thesis, University of Hertfordshire, 2012. http://hdl.handle.net/2299/9240.
Повний текст джерелаАнотація:
Martingales are fundamental stochastic process used to model the concept of fair game. They have a multitude of applications in the real world that include, random walks, Brownian motion, gamblers fortunes and survival analysis, Just as commutative integration theory may be realised as a special case of the more general non-commutative theory for integrals, so too, we find classical probability may be realised as a limiting, special case of quantum probability theory. In this thesis we are concerned with the development of multiparameter quantum stochastic integrals extending non-commutative constructions to the general n parameter case, these being multiparameter quantum stochastic integrals over the positive n - dimensional plane, employing martingales as integrator. The thesis extends previous analogues of type one, and type two stochastic integrals, for both Clifford and quasi free representations. As with one and two dimensional parameter sets, the stochastic integrals constructed form orthogonal, centred L2 - martingales, obeying isometry properties. We further explore analogues for weakly adapted processes, properties relating to the resulting quantum stochastic integrals, develop analogues to Fubini’s theorem, and explore applications for quantum stochastic integrals in a security setting.
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Catalão, André Borges. "Modelagem estocástica de opções de câmbio no Brasil : aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston/." São Paulo : [s.n.], 2010. http://hdl.handle.net/11449/88592.
Повний текст джерелаАнотація:
Orientador: Rogério RosenfeldBanca: Mario José de Oliveira
Banca: Marcos Eugênio da Silva
Resumo: Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo
Abstract: In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model
Mestre
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Ades, Michel. "Topics in stochastic systems, cumulative renewal processes, stochastic control and gradient estimation." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq44336.pdf.
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Huang, Hui. "Optimal control of piecewise continuous stochastic processes." Bonn : [s.n.], 1989. http://catalog.hathitrust.org/api/volumes/oclc/23831217.html.
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Rué, Queralt Pau. "Transient and stochastic dynamics in cellular processes." Doctoral thesis, Universitat Politècnica de Catalunya, 2013. http://hdl.handle.net/10803/128333.
Повний текст джерелаАнотація:
This Thesis studies different cellular and cell population processes driven by non-linear and stochastic dynamics.
The problems addressed here gravitate around the concepts of transient dynamics and relaxation from a perturbed to a steady state. In this regard, in all processes studied, stochastic fluctuations, either intrinsically present in or externally applied to these systems play an important and constructive role, by either driving the systems out of equilibrium, interfering with the underlying deterministic laws, or establishing suitable levels of heterogeneity.
The first part of the Thesis is committed the analysis of genetically regulated transient cellular processes. Here, we analyse, from a theoretical standpoint, three genetic circuits with pulsed excitable dynamics. We show that all circuits can work in two different excitable regimes, in contrast to what was previously speculated.
We also study how, in the presence of molecular noise, these excitable circuits can generate periodic polymodal pulses due to the combination of two noise induced phenomena: stabilisation of an unstable spiral point and coherence resonance.
We also studied an excitable genetic mechanism for the regulation of the transcriptional fluctuations observed in some pluripotency factors in Embryonic Stem cells. In the embryo, pluripotency is a transient cellular state and the exit of cells from it seems to be associated with transcriptional fluctuations.
In regard to pluripotency control, we also propose a novel mechanism based on the post-translational regulation of a small set of four pluripotency factors. We have validated the theoretical model, based on the formation of binary complexes among these factors, with quantitative experimental data at the single-cell level. The model suggests that the pluripotency state does not depend on the cellular levels of a single factor, but rather on the equilibrium of correlations between the different proteins. In addition, the model is able to anticipate the phenotype of several mutant cell types and suggests that the regulatory function of the protein interactions is to buffer the transcriptional activity of Oc4, a key pluripotency factor.
In the second part of the Thesis we studied the behaviour of a computational cell signalling network of the human fibroblast in the presence of external fluctuations and signals. The results obtained here indicate that the network responds in a nontrivial manner to background chatter, both intrinsically and in the presence of external periodic signals. We show that these responses are consequence of the rerouting of the signal to different network information-transmission paths that emerge as noise is modulated.
Finally, we also study the cell population dynamics during the formation of microbial biofilms, wrinkled pellicles of bacteria glued by an extracellular matrix that are one of the simplest cases of self-organised multicellular structures. In this Thesis we develop a spatiotemporal model of cellular growth and death that accounts for the experimentally observed patterns of massive bacterial death that precede wrinkle formation in biofilms. These localised patterns focus mechanical forces during biofilm expansion and trigger the formation of the characteristic ridges. In this sense, the proposed model suggests that the death patterns emerge from the mobility changes in bacteria due to the production of extracellular matrix and the spatially inhomogeneous cellular growth. An important prediction of the model is that matrix productions is crucial for the appearance of the patterns and, therefore for winkle formation. We have also experimentally validated validated this prediction with matrix deficient bacterial strains, which show neither death patterns nor wrinkles.En aquesta Tesi s’estudien diferents processos intracel·lulars i de poblacions cel·lulars regits per dinàmica estocàstica i no lineal. El problemes biològics tractats graviten al voltant el concepte de dinàmica transitòria i de relaxació d’un estat dinàmic pertorbat a l’estat estacionari. En aquest sentit, en tots els processos estudiats, les fluctuacions estocàstiques, presents intrínsecament o aplicades de forma externa, hi tenen un paper constructiu, ja sigui empenyent els sistemes fora de l’equilibri, interferint amb les lleis deterministes subjacents, o establint els nivells d’heterogeneïtat necessaris. La primera part de la Tesi es dedica a l’estudi de processos cel·lulars transitoris regulats genèticament. En ella analitzem des d’un punt de vista teòric tres circuits genètics de control de polsos excitables i, contràriament al que s’havia especulat anteriorment, establim que tots ells poden treballar en dos tipus de règim excitable. Analitzem també com, en presència de soroll molecular, aquests circuits excitables poden generar polsos periòdics i multimodals degut a la combinació de dos fenòmens induïts per soroll: l’estabilització estocàstica d’estats inestables i la ressonància de coherència. D’altra banda, estudiem com un mecanisme genètic excitable pot ser el responsable de regular a nivell transcripcional les fluctuacions que s’observen experimentalment en alguns factors de pluripotència en cèl·lules mare embrionàries. En l’embrió, la pluripotència és un estat cel·lular transitori i la sortida de les cèl·lules d’aquest sembla que està associada a fluctuacions transcripcionals. En relació al control de la pluripotència, presentem també un nou mecanisme basat en la regulació post-traduccional d’un petit conjunt de 4 factors de pluripotència. El model teòric proposat, basat en la formació de complexos entre els diferents factors de pluripotència, l’hem validat mitjançant experiments quantitatius en cèl·lules individuals. El model postula que l’estat de pluripotència no depèn dels nivells cel·lulars d’un únic factor, sinó d’un equilibri de correlacions entre diverses proteïnes. A més, prediu el fenotip de cèl·lules mutants i suggereix que la funció reguladora de les interaccions entre les quatre proteïnes és la d’esmorteir l’activitat transcripcional d’Oct4, un dels principals factors de pluripotència. En el segon apartat de la Tesi estudiem el comportament d’una xarxa computacional de senyalització cel·lular de fibroblast humà en presència de senyals externs fluctuants i cíclics. Els resultats obtinguts mostren que la xarxa respon de forma no trivial a les fluctuacions ambientals, fins i tot en presència d’una senyal externa. Diferents nivells de soroll permeten modular la resposta de la xarxa, mitjançant la selecció de rutes alternatives de transmissió de la informació. Finalment, estudiem la dinàmica de poblacions cel·lulars durant la formació de biofilms, pel·lícules arrugades d’aglomerats de bacteris que conformen un dels exemples més simples d’estructures multicel·lulars autoorganitzades. En aquesta Tesi presentem un model espai-temporal de creixement i mort cel·lular motivat per l’evidència experimental sobre l’aparició de patrons de mort massiva de bacteris previs a la formació de les arrugues dels biofilms. Aquests patrons localitzats concentren les forces mecàniques durant l’expansió del biofilm i inicien la formació de les arrugues característiques. En aquest sentit, el model proposat explica com es formen els patrons de mort a partir dels canvis de mobilitat dels bacteris deguts a la producció de matriu extracel·lular combinats amb un creixement espacialment heterogeni. Una important predicció del model és que la producció de matriu és un procés clau per a l’aparició dels patrons i, per tant de les arrugues. En aquest aspecte, els nostres resultats experimentals en bacteris mutants que no produeixen components essencials de la matriu, confirmen les prediccions.
34
Lindsey, Charles. "Two-parameter stochastic processes with finite variation." Gainesville, FL, 1988. http://www.archive.org/details/twoparameterstoc00lind.
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Wanduku, Divine. "Stochastic Modeling of Network-Centric Epidemiological Processes." Scholar Commons, 2012. http://scholarcommons.usf.edu/etd/4252.
Повний текст джерелаАнотація:
The technological changes and educational expansion have created the heterogeneity in the human species. Clearly, this heterogeneity generates a structure in the population
dynamics, namely: citizen, permanent resident, visitor, and etc. Furthermore, as the heterogeneity in the population increases, the human mobility between meta-populations patches
also increases. Depending on spatial scales, a meta-population patch can be decomposed into sub-patches, for examples: homes, neighborhoods, towns, etc. The dynamics of human
mobility in a heterogeneous and scaled structured population is still its infancy level. We develop and investigate (1) an algorithmic two scale human mobility dynamic model for a meta-population. Moreover,the two scale human mobility dynamic model can be extended to multi-scales by applying the algorithm. The subregions and regions are interlinked via intra-and inter regional transport network systems. Under various types of growth order assumptions on the intra and interregional residence times of the residents of a sub region, different patterns of static behavior of the mobility process are studied. Furthermore, the human mobility dynamic model is applied to a two-scale population dynamic exhibiting a special real life human transportation network pattern. The static evolution of all categories of residents of a given site ( homesite, visiting sites within the region, and visiting sites in other regions) over continuous changes in the intra and inter-regional visiting times is also analyzed.
The development of the two scale human mobility dynamic model provides a suitable approach to undertake the study of the non-uniform global spread of emergent infectious
diseases of humans in a systematic and unified way. In view of this, we derive (2) a SIRS stochastic epidemic dynamic process in a two scale structured population. By defining a positively self invariant set for the dynamic model the stochastic asymptotic stability results of the disease free equilibrium are developed(2). Furthermore, the significance of the stability results are illustrated in a simple real life scenario that is under controlled quarantine disease strategy. In addition, the epidemic dynamic model (2) is applied to a
SIR influenza epidemic in a two scale population that is under the influence of a special real life human mobility pattern. The simulated trajectories for the different states (susceptible, Infective, Removal) with respect to current location in the two-scale population structure are presented. The simulated findings reveal comparative evolution patterns for the different states and current locations over time.
The SIRS stochastic epidemic dynamic model (2) is extended to a SIR delayed stochastic epidemic dynamic model(3). The delay effects in the dynamic model (3) is temporary
and account for natural or infection acquired immunity conferred by the disease after disease recovery. Again, we justify the model validation as a prerequisite for the dynamic modeling. Moreover, we also exhibit the real life scenario under controlled quarantine disease strategy.In addition, the developed delayed SIR dynamic model is also applied to SIR influenza epidemic with temporary immunity to an influenza disease strain. The simulated results reveal an oscillatory effect in the trajectory of the naturally immune population. Moreover, the oscillations are more significant at the homesite.
We further extended the stochastic temporary delayed epidemic dynamic model (3) into a stochastic delayed epidemic dynamic model with varying immunity period(4). The varying immunity period accounts for the varying time lengths of natural immunity against the infectious agent exhibited within the naturally immune population. Obviously, the stochastic dynamic model with varying immunity period generalizes the SIR temporary delayed dynamic.
36
Chaleeraktrakoon, Chavalit. "Stochastic modelling and simulation of streamflow processes." Thesis, McGill University, 1995. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=28704.
Повний текст джерелаАнотація:
The main objectives of this research are to propose a general stochastic method for determining analytically the distribution of flood volume, and to develop a simulation procedure for generating synthetic multiseason streamflows at different sites simultaneously. The research study is divided into two parts: (a) First, a general stochastic model is proposed to derive analytically the probability distribution function for flood volume. The volume of a flood is defined as the sum of an unbroken sequence of consecutive daily flows above a given truncation level. Analytical expressions were then derived for the exact distribution of flood volume for various cases in which successive flow exceedances can be assumed to be either independent or correlated, and the cumulative flow exceedance can be considered to be independent or dependent of the corresponding flood duration. The proposed stochastic method is more general and more flexible than empirical fitting approach because it can take explicitly into account different stochastic properties inherent in the underlying streamflow process. Results of a numerical application have shown that the proposed model could provide a very good fit between observed and theoretical results. Further, in the estimation of flood volume distribution, it has been found that the effect of the serial correlation property of the flow series is not significant as compared to the impact due to the dependence between flood volume and corresponding duration. Finally, it has been demonstrated that the simplistic assumption of triangular flood hydrograph shape, as usually appeared in previous studies, is not necessary in the estimation of flood volume distribution. (b) Second, a multivariate stochastic simulation approach is proposed for generating synthetic seasonal streamflow series at a single location or at many different locations concurrently. The suggested simulation scheme is based on the combination of the singular value decomposition
37
Lee, Wai Ha. "Continuous and discrete properties of stochastic processes." Thesis, University of Nottingham, 2010. http://eprints.nottingham.ac.uk/11194/.
Повний текст джерелаАнотація:
This thesis considers the interplay between the continuous and discrete properties of random stochastic processes. It is shown that the special cases of the one-sided Lévy-stable distributions can be connected to the class of discrete-stable distributions through a doubly-stochastic Poisson transform. This facilitates the creation of a one-sided stable process for which the N-fold statistics can be factorised explicitly. The evolution of the probability density functions is found through a Fokker-Planck style equation which is of the integro-differential type and contains non-local effects which are different for those postulated for a symmetric-stable process, or indeed the Gaussian process. Using the same Poisson transform interrelationship, an exact method for generating discrete-stable variates is found. It has already been shown that discrete-stable distributions occur in the crossing statistics of continuous processes whose autocorrelation exhibits fractal properties. The statistical properties of a nonlinear filter analogue of a phase-screen model are calculated, and the level crossings of the intensity analysed. It is found that rather than being Poisson, the distribution of the number of crossings over a long integration time is either binomial or negative binomial, depending solely on the Fano factor. The asymptotic properties of the inter-event density of the process are found to be accurately approximated by a function of the Fano factor and the mean of the crossings alone.
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Loeffen, Ronnie Lambertus. "Stochastic control for spectrally negative Lévy processes." Thesis, University of Bath, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.505712.
Повний текст джерелаАнотація:
Three optimal dividend models are considered for which the underlying risk process is a spectrally negative Levy process. The first one concerns the classical dividends problem of de Finetti for which we give sufficient conditions under which the optimal strategy is of barrier type. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.
39
Price, G. C. "The pathwise determination of certain stochastic processes." Thesis, Swansea University, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.638575.
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Schittenkopf, Christian, Georg Dorffner, and Engelbert J. Dockner. "Identifying stochastic processes with mixture density networks." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1998. http://epub.wu.ac.at/396/1/document.pdf.
Повний текст джерелаАнотація:
In this paper we investigate the use of mixture density networks (MDNs) for identifying complex stochastic processes. Regular multilayer perceptrons (MLPs), widely used in time series processing, assume a gaussian conditional noise distribution with constant variance, which is unrealistic in many applications, such as financial time series (which are known to be heteroskedastic). MDNs extend this concept to the modeling of time-varying probability density functions (pdfs) describing the noise as a mixture of gaussians, the parameters of which depend on the input. We apply this method to identifying the process underlying daily ATX (Austrian stock exchange index) data. The results indicate that MDNs modeling a non-gaussian conditional pdf tend to be significantly better than traditional linear methods of estimating variance (ARCH) and also better than merely assuming a conditional gaussian distribution. (author's abstract)Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
41
Serrano, Rico Alan Edwin. "Stochastic Information Technology Modelling for Business Processes." Thesis, Brunel University, 2002. http://bura.brunel.ac.uk/handle/2438/2035.
Повний текст джерелаАнотація:
Business Processes (BP) and Information Technology (IT) are two areas that work very closely in helping organisations to keep or retain competitive advantage. Therefore, design in these areas should consider the advantages provided by, and the limitations that each of these domains imposes on each other. BP design tries to ensure that IT specifications are considered during the design of BP. Similarly, Information Systems (IS) design attempts to capture organisational needs, known as IS functional and Non-Functional Requirements (NFR), in order to meet the organisational goals. Despite this, BP and IT modelling techniques barely depict the way IT may affect BP performance or vice versa. For example, Business Process Simulation (BPS) is one of the modelling techniques that has been increasingly used to support process design. The performance measurements obtained from BPS models, though, are obtained considering only organisational issues, and thus cannot be used to assess the impact that IT may have on process performance. Similarly, IT modelling techniques do not provide IS performance measurements, and hence cannot depict the way IS may improve BP performance. The relationship between BP and IT can be alternatively described in terms of the relationships between BP, IS and Computer Networks (CN). By looking at the parameters that govern these relationships a simulation framework was developed, namely ASSESS-IT, that develops simulation models that provide performance measurements of BP, IS and CN, and thus can reflect the impact that IT (IS and CN) may have on BP performance. This research uses a case study to test the proposed framework (theory testing), to understand the way BP, IS, and CN domains interact (discovery), and to propose alternative theories to solve the problems found (theory building). The experimentation with the ASSESS-IT framework suggests that in order to portray the impact that IT may have on BP, analysts in these domains should first identify those performance specifications that describe how well the IS delivers its functionality (also known as non-functional requirements). It was found that when the IS does not depend on determined response time, the relationships between BP, IS and CN can be assessed using only the relationship between BP and IS. An alternative simulation framework, namely BPISS, is proposed to produce BPS models that provide performance measurements of BP and IS. Thus, BP and IT analysts can investigate the impact that a given IS design may have on BP performance, and identify a better BP and IS solution.
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MacPhee, Iain MacKenzie. "On optimal strategies in stochastic decision processes." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317900.
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Avniel, Yehuda. "Realization and approximation of stationary stochastic processes." Thesis, Massachusetts Institute of Technology, 1985. http://hdl.handle.net/1721.1/15284.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1985.MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING.
Bibliography: leaves 82-84.
by Yehuda Avniel.
Ph.D.
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Artomov, Maksym. "Stochastic processes in biological systems : selected problems." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/57773.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Chemistry, February 2010.Cataloged from PDF version of thesis. Vita.
Includes bibliographical references.
Majority of biological processes can not be described deterministically. Multple levels of regulation contribute to the noise in the observable properties of the cells: fluctuations are ubiquitous in biological networks and in their spatial organization. In this thesis we consider several examples from three broad categories. Firstly, we study two problems that highlight connection between network topologies and manifestations of stochastic fluctuation in networks of chemical reactions that are meant to represent biological networks in the coarse-grained way. We show that specific network structure can have profound consequences on the steady-state probability distribution function of corresponding chemical system. Secondly, we study effects of spatial organization of the proteins on the membrane surface of T-cells on the initialization of signal propagation. We show that coordinated diffusion of proteins is critical for signal-enhancing properties of co-receptors CD4 and CD8. In third part of the thesis we attempt to reconstruct network topology based on incomplete information about specific interactions between the network nodes and some information about "macroscopic" behavior of the system governed by the network in question. The matter of the Part III, however, is one scale larger than the corresponding objects considered in Part II and I. Specifically, we consider transformations of cells between different cell types and molecular origins that underlie cell transformations (such as differentiation/de-differentiation). Our model suggests specific structure of the master-regulatory network of genes and makes testable predictions.
by Maksym Artomov.
Ph.D.
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Graham, D. P. "Stochastic modelling and analysis of construction processes." Thesis, University of Edinburgh, 2005. http://hdl.handle.net/1842/12054.
Повний текст джерелаАнотація:
Construction projects frequently overrun and finish over budget; in part due to the lack of control that construction practitioners have over the construction schedule at a process level. Planning methods such as CPM are not of sufficient detail to allow a practitioner to plan a process to maximise its performance. Thus the aim of this research was to develop a practical, computer-based model to enable practitioners to plan projects at a process level and hence improve their projects. This research has focused upon a specific type of process - those that are stochastic and cyclical. Such processes are difficult to predict and hence control, and they are widespread throughout construction projects. Examples are crane operations, formwork erection and scaffold erection. Initially, a focus was placed on the ready-mixed concrete (RMC) supply process. A discrete event simulation (DES) model of this process was developed and validated, based upon real project data. This model could not provide accurate estimates of the process due to the requirement that a user define the probability distributions that represent the process. This is a complex requirement for a practitioner, the issue became known as the complexity problem and a solution was sought using case-based reasoning (CBR). CBR provides solutions to new problems using knowledge from past ones - exactly what a practitioner was doing in the above simulation model. CBR was shown to be capable of solving the complexity problem. A hybrid model, CBRSim, was formed to fulfil the original aim of this thesis. CBRSim works by: CBR selecting probability distributions (based on user input) that are used in a DES model to accurately recreate the process. CBRSim was validated and modelled the process to within +/- 3% accuracy. CBRSim was then applied to another stochastic and cyclical construction process: earthmoving. CBRSim was found to be more accurate in estimating earthmoving productivity than RMC supply, thus providing an indication of a generic modelling capability.
46
Rumsey, Deborah Jean. "Nonresponse models for social network stochastic processes /." The Ohio State University, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487846885778158.
Повний текст джерела
47
McKetterick, Thomas John. "Delayed stochastic processes and animal movement interactions." Thesis, University of Bristol, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.702110.
Повний текст джерелаАнотація:
Understanding delayed movement interactions has become an area of great interest and importance in the study of animal collective movement. This thesis investigates the role delays play in both theoretical and data-driven studies of movement interactions. From a data-set of bat paired flight trajectories empirical evidence is obtained for the delayed nature of the action and reaction between conspecifics. Analytic techniques are then developed for extracting the value of these delays and subsequently utilising this information to understand the sensory perception and leader-follower relationships of these animals. The combination of delays and noise present in animal movement interactions has not previously been incorporated in theoretical models due to a lack of exact analytic results for delayed stochastic processes. The second part of this thesis provides the theoretical foundations for studying linear delayed stochastic processes. A Langevin description of such systems is presented and from which an understanding of their delayed dynamics is obtained. The corresponding probability distribution is then calculated directly from the solution of the Langevin equation. An equivalent Fokker-Planck description is also derived and shown to provide a complete probabilistic understanding of these systems. Utilising these results, models of delayed movement interactions are presented and the role of delays in the resulting movement patterns is discussed. In the final part of this thesis, the Fokker-Planck description of these systems is used to investigate their evolution in the presence of boundaries.
48
Rumsey, Deborah J. "Nonresponse models for social network stochastic processes /." Connect to resource, 1993. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261508861.
Повний текст джерела
49
Bunton, Suzanne. "On-line stochastic processes in data compression /." Thesis, Connect to this title online; UW restricted, 1996. http://hdl.handle.net/1773/6931.
Повний текст джерела
50
Golinelli, Daniela. "Bayesian inference in hidden stochastic population processes /." Thesis, Connect to this title online; UW restricted, 2000. http://hdl.handle.net/1773/8969.
Повний текст джерела