subject:(stochastic calculus)

Georgia Tech

1. Phanish, Deepa. Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks.

Degree: PhD, Electrical and Computer Engineering, 2017, Georgia Tech

► A large number of small sensing devices connected together with wireless transceivers can be used to effectively monitor various environments. However, these devices have limited… (more)

Subjects/Keywords: Optimization; Stochastic geometry; Variational calculus

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APA (6^th Edition):

Phanish, D. (2017). Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/59223

Chicago Manual of Style (16^th Edition):

Phanish, Deepa. “Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks.” 2017. Doctoral Dissertation, Georgia Tech. Accessed December 15, 2019. http://hdl.handle.net/1853/59223.

MLA Handbook (7^th Edition):

Phanish, Deepa. “Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks.” 2017. Web. 15 Dec 2019.

Vancouver:

Phanish D. Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks. [Internet] [Doctoral dissertation]. Georgia Tech; 2017. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1853/59223.

Council of Science Editors:

Phanish D. Optimal clustering and inter-cluster routing in large-scale wireless ad hoc and sensor networks. [Doctoral Dissertation]. Georgia Tech; 2017. Available from: http://hdl.handle.net/1853/59223

University of Waterloo

2. Singla, Sahil. On Using Storage and Genset for Mitigating Power Grid Failures.

Degree: 2013, University of Waterloo

URL: http://hdl.handle.net/10012/7448

► Although modern society is critically reliant on power grids, even modern power grids are subject to unavoidable outages due to storms, lightning strikes, and equipment… (more)

Subjects/Keywords: Stochastic Calculus; Smart grid

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APA (6^th Edition):

Singla, S. (2013). On Using Storage and Genset for Mitigating Power Grid Failures. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/7448

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Singla, Sahil. “On Using Storage and Genset for Mitigating Power Grid Failures.” 2013. Thesis, University of Waterloo. Accessed December 15, 2019. http://hdl.handle.net/10012/7448.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Singla, Sahil. “On Using Storage and Genset for Mitigating Power Grid Failures.” 2013. Web. 15 Dec 2019.

Vancouver:

Singla S. On Using Storage and Genset for Mitigating Power Grid Failures. [Internet] [Thesis]. University of Waterloo; 2013. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/10012/7448.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Singla S. On Using Storage and Genset for Mitigating Power Grid Failures. [Thesis]. University of Waterloo; 2013. Available from: http://hdl.handle.net/10012/7448

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Alberta

3. Tang, Ling-Qi. Results in anticipative stochastic calculus.

Degree: PhD, Department of Statistics and Applied Probability, 1992, University of Alberta

URL: https://era.library.ualberta.ca/files/gf06g469c

Subjects/Keywords: Stochastic processes.; Calculus.

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APA (6^th Edition):

Tang, L. (1992). Results in anticipative stochastic calculus. (Doctoral Dissertation). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/gf06g469c

Chicago Manual of Style (16^th Edition):

Tang, Ling-Qi. “Results in anticipative stochastic calculus.” 1992. Doctoral Dissertation, University of Alberta. Accessed December 15, 2019. https://era.library.ualberta.ca/files/gf06g469c.

MLA Handbook (7^th Edition):

Tang, Ling-Qi. “Results in anticipative stochastic calculus.” 1992. Web. 15 Dec 2019.

Vancouver:

Tang L. Results in anticipative stochastic calculus. [Internet] [Doctoral dissertation]. University of Alberta; 1992. [cited 2019 Dec 15]. Available from: https://era.library.ualberta.ca/files/gf06g469c.

Council of Science Editors:

Tang L. Results in anticipative stochastic calculus. [Doctoral Dissertation]. University of Alberta; 1992. Available from: https://era.library.ualberta.ca/files/gf06g469c

University of Pretoria

4. Fordred, Gordon Ian. An application of the Malliavin calculus in finance.

Degree: Mathematics and Applied Mathematics, 2009, University of Pretoria

URL: http://hdl.handle.net/2263/26091

► This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to… (more)

Subjects/Keywords: Greeks; Stochastic calculus of variations; Malliavin calculus; UCTD

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APA (6^th Edition):

Fordred, G. I. (2009). An application of the Malliavin calculus in finance. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/26091

Chicago Manual of Style (16^th Edition):

Fordred, Gordon Ian. “An application of the Malliavin calculus in finance.” 2009. Masters Thesis, University of Pretoria. Accessed December 15, 2019. http://hdl.handle.net/2263/26091.

MLA Handbook (7^th Edition):

Fordred, Gordon Ian. “An application of the Malliavin calculus in finance.” 2009. Web. 15 Dec 2019.

Vancouver:

Fordred GI. An application of the Malliavin calculus in finance. [Internet] [Masters thesis]. University of Pretoria; 2009. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/2263/26091.

Council of Science Editors:

Fordred GI. An application of the Malliavin calculus in finance. [Masters Thesis]. University of Pretoria; 2009. Available from: http://hdl.handle.net/2263/26091

University of Pretoria

5. [No author]. An application of the Malliavin calculus in finance .

Degree: 2009, University of Pretoria

URL: http://upetd.up.ac.za/thesis/available/etd-07062009-123751/

► This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to… (more)

Subjects/Keywords: Greeks; Stochastic calculus of variations; Malliavin calculus; UCTD

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APA (6^th Edition):

author], [. (2009). An application of the Malliavin calculus in finance . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-07062009-123751/

Chicago Manual of Style (16^th Edition):

author], [No. “An application of the Malliavin calculus in finance .” 2009. Masters Thesis, University of Pretoria. Accessed December 15, 2019. http://upetd.up.ac.za/thesis/available/etd-07062009-123751/.

MLA Handbook (7^th Edition):

author], [No. “An application of the Malliavin calculus in finance .” 2009. Web. 15 Dec 2019.

Vancouver:

author] [. An application of the Malliavin calculus in finance . [Internet] [Masters thesis]. University of Pretoria; 2009. [cited 2019 Dec 15]. Available from: http://upetd.up.ac.za/thesis/available/etd-07062009-123751/.

Council of Science Editors:

author] [. An application of the Malliavin calculus in finance . [Masters Thesis]. University of Pretoria; 2009. Available from: http://upetd.up.ac.za/thesis/available/etd-07062009-123751/

The Ohio State University

6. Sterle, Lance. Modeling Path Dependent Derivatives Using CUDA Parallel Platform.

Degree: Master of Mathematical Sciences, Mathematical Sciences, 2017, The Ohio State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu149263565284954

► The pricing of derivative securities with path dependence is governed by stochastic differential equations which rarely have a closed-form, analytic solution. Thesecomplex derivatives can be… (more)

Subjects/Keywords: Mathematics; Finance; Parallel Computing; Derivatives Pricing; Stochastic Calculus; Monte Carlo Simulation

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APA (6^th Edition):

Sterle, L. (2017). Modeling Path Dependent Derivatives Using CUDA Parallel Platform. (Masters Thesis). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu149263565284954

Chicago Manual of Style (16^th Edition):

Sterle, Lance. “Modeling Path Dependent Derivatives Using CUDA Parallel Platform.” 2017. Masters Thesis, The Ohio State University. Accessed December 15, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu149263565284954.

MLA Handbook (7^th Edition):

Sterle, Lance. “Modeling Path Dependent Derivatives Using CUDA Parallel Platform.” 2017. Web. 15 Dec 2019.

Vancouver:

Sterle L. Modeling Path Dependent Derivatives Using CUDA Parallel Platform. [Internet] [Masters thesis]. The Ohio State University; 2017. [cited 2019 Dec 15]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu149263565284954.

Council of Science Editors:

Sterle L. Modeling Path Dependent Derivatives Using CUDA Parallel Platform. [Masters Thesis]. The Ohio State University; 2017. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu149263565284954

Penn State University

7. Wang, Jianrui. PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION.

Degree: PhD, Industrial Engineering, 2009, Penn State University

URL: https://etda.libraries.psu.edu/catalog/9014

► Formalism is a powerful tool for precisely defining and analyzing Discrete Event Simulation (DES). Many formalisms, such as FSA, GSMP, DEVS, Petri Net, SPADE, etc.,… (more)

Subjects/Keywords: formalism; high level architecture; discrete event simulation; stochastic pi-calculus

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APA (6^th Edition):

Wang, J. (2009). PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION. (Doctoral Dissertation). Penn State University. Retrieved from https://etda.libraries.psu.edu/catalog/9014

Chicago Manual of Style (16^th Edition):

Wang, Jianrui. “PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION.” 2009. Doctoral Dissertation, Penn State University. Accessed December 15, 2019. https://etda.libraries.psu.edu/catalog/9014.

MLA Handbook (7^th Edition):

Wang, Jianrui. “PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION.” 2009. Web. 15 Dec 2019.

Vancouver:

Wang J. PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION. [Internet] [Doctoral dissertation]. Penn State University; 2009. [cited 2019 Dec 15]. Available from: https://etda.libraries.psu.edu/catalog/9014.

Council of Science Editors:

Wang J. PiDES: A FORMALISM FOR COMPLEX ADAPTIVE DISCRETE EVENT SIMULATION. [Doctoral Dissertation]. Penn State University; 2009. Available from: https://etda.libraries.psu.edu/catalog/9014

University of Oxford

8. Yang, Weiye. Stochastic analysis and stochastic PDEs on fractals.

Degree: PhD, 2018, University of Oxford

URL: http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.757847

► Stochastic analysis on fractals is, as one might expect, a subfield of analysis on fractals. An intuitive starting point is to observe that on many… (more)

Subjects/Keywords: Mathematics; Partial Differential Equations; Probability; Calculus; Geometry; Stochastic Analysis; Fractals

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APA (6^th Edition):

Yang, W. (2018). Stochastic analysis and stochastic PDEs on fractals. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.757847

Chicago Manual of Style (16^th Edition):

Yang, Weiye. “Stochastic analysis and stochastic PDEs on fractals.” 2018. Doctoral Dissertation, University of Oxford. Accessed December 15, 2019. http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.757847.

MLA Handbook (7^th Edition):

Yang, Weiye. “Stochastic analysis and stochastic PDEs on fractals.” 2018. Web. 15 Dec 2019.

Vancouver:

Yang W. Stochastic analysis and stochastic PDEs on fractals. [Internet] [Doctoral dissertation]. University of Oxford; 2018. [cited 2019 Dec 15]. Available from: http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.757847.

Council of Science Editors:

Yang W. Stochastic analysis and stochastic PDEs on fractals. [Doctoral Dissertation]. University of Oxford; 2018. Available from: http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.757847

University of New South Wales

9. Ortega Piwonka, Juan Ignacio. Stochastic models for optically trapped nanowires.

Degree: Mathematics & Statistics, 2017, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/58403 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:45969/SOURCE02?view=true

► In many physical systems noise plays a minor role, as a perturbation to deterministic motion; or a major role, in supressing a deterministic signal. In… (more)

Subjects/Keywords: Nanowires; Stochastic calculus; Optical tweezers; Bias to cyclic motion

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APA (6^th Edition):

Ortega Piwonka, J. I. (2017). Stochastic models for optically trapped nanowires. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/58403 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:45969/SOURCE02?view=true

Chicago Manual of Style (16^th Edition):

Ortega Piwonka, Juan Ignacio. “Stochastic models for optically trapped nanowires.” 2017. Doctoral Dissertation, University of New South Wales. Accessed December 15, 2019. http://handle.unsw.edu.au/1959.4/58403 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:45969/SOURCE02?view=true.

MLA Handbook (7^th Edition):

Ortega Piwonka, Juan Ignacio. “Stochastic models for optically trapped nanowires.” 2017. Web. 15 Dec 2019.

Vancouver:

Ortega Piwonka JI. Stochastic models for optically trapped nanowires. [Internet] [Doctoral dissertation]. University of New South Wales; 2017. [cited 2019 Dec 15]. Available from: http://handle.unsw.edu.au/1959.4/58403 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:45969/SOURCE02?view=true.

Council of Science Editors:

Ortega Piwonka JI. Stochastic models for optically trapped nanowires. [Doctoral Dissertation]. University of New South Wales; 2017. Available from: http://handle.unsw.edu.au/1959.4/58403 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:45969/SOURCE02?view=true

Western Kentucky University

10. Turhan, Nezihe. Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance.

Degree: MS, Department of Mathematics and Computer Science, 2011, Western Kentucky University

URL: https://digitalcommons.wku.edu/theses/1045

► The concept of dynamic programming was originally used in late 1949, mostly during the 1950s, by Richard Bellman to describe decision making problems. By… (more)

▼ The concept of dynamic programming was originally used in late 1949, mostly during the 1950s, by Richard Bellman to describe decision making problems. By 1952, he refined this to the modern meaning, referring specifically to nesting smaller decision problems inside larger decisions. Also, the Bellman equation, one of the basic concepts in dynamic programming, is named after him. Dynamic programming has become an important argument which was used in various fields; such as, economics, finance, bioinformatics, aerospace, information theory, etc. Since Richard Bellman's invention of dynamic programming, economists and mathematicians have formulated and solved a huge variety of sequential decision making problems both in deterministic and stochastic cases; either finite or infinite time horizon. This thesis is comprised of five chapters where the major objective is to study both deterministic and stochastic dynamic programming models in finance. In the first chapter, we give a brief history of dynamic programming and we introduce the essentials of theory. Unlike economists, who have analyzed the dynamic programming on discrete, that is, periodic and continuous time domains, we claim that trading is not a reasonably periodic or continuous act. Therefore, it is more accurate to demonstrate the dynamic programming on non-periodic time domains. In the second chapter we introduce time scales calculus. Moreover, since it is more realistic to analyze a decision maker’s behavior without risk aversion, we give basics of Stochastic Calculus in this chapter. After we introduce the necessary background, in the third chapter we construct the deterministic dynamic sequence problem on isolated time scales. Then we derive the corresponding Bellman equation for the sequence problem. We analyze the relation between solutions of the sequence problem and the Bellman equation through the principle of optimality. We give an example of the deterministic model in finance with all details of calculations by using guessing method, and we prove uniqueness and existence of the solution by using the Contraction Mapping Theorem. In the fourth chapter, we define the stochastic dynamic sequence problem on isolated time scales. Then we derive the corresponding stochastic Bellman equation. As in the deterministic case, we give an example in finance with the distributions of solutions. Advisors/Committee Members: Dr. Ferhan Atici (Director), Dr. Melanie Autin, Dr. Alex Lebedinsky.

Subjects/Keywords: time scale calculus; stochastic calculus; dynamic programming; finance programming models; optimal growth model; Dynamical Systems; Finance and Financial Management

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APA (6^th Edition):

Turhan, N. (2011). Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance. (Masters Thesis). Western Kentucky University. Retrieved from https://digitalcommons.wku.edu/theses/1045

Chicago Manual of Style (16^th Edition):

Turhan, Nezihe. “Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance.” 2011. Masters Thesis, Western Kentucky University. Accessed December 15, 2019. https://digitalcommons.wku.edu/theses/1045.

MLA Handbook (7^th Edition):

Turhan, Nezihe. “Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance.” 2011. Web. 15 Dec 2019.

Vancouver:

Turhan N. Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance. [Internet] [Masters thesis]. Western Kentucky University; 2011. [cited 2019 Dec 15]. Available from: https://digitalcommons.wku.edu/theses/1045.

Council of Science Editors:

Turhan N. Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance. [Masters Thesis]. Western Kentucky University; 2011. Available from: https://digitalcommons.wku.edu/theses/1045

University of Manchester

11. Wilson, Daniel. Local time-space calculus with applications.

Degree: PhD, 2018, University of Manchester

URL: https://www.research.manchester.ac.uk/portal/en/theses/local-timespace-calculus-with-applications(f04e32e3-4c9b-4348-a7f3-803dee125e43).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764664

Subjects/Keywords: 510; Stochastic Calculus; Stochastic Differential Equations; Local Time

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APA (6^th Edition):

Wilson, D. (2018). Local time-space calculus with applications. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/local-timespace-calculus-with-applications(f04e32e3-4c9b-4348-a7f3-803dee125e43).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764664

Chicago Manual of Style (16^th Edition):

Wilson, Daniel. “Local time-space calculus with applications.” 2018. Doctoral Dissertation, University of Manchester. Accessed December 15, 2019. https://www.research.manchester.ac.uk/portal/en/theses/local-timespace-calculus-with-applications(f04e32e3-4c9b-4348-a7f3-803dee125e43).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764664.

MLA Handbook (7^th Edition):

Wilson, Daniel. “Local time-space calculus with applications.” 2018. Web. 15 Dec 2019.

Vancouver:

Wilson D. Local time-space calculus with applications. [Internet] [Doctoral dissertation]. University of Manchester; 2018. [cited 2019 Dec 15]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/local-timespace-calculus-with-applications(f04e32e3-4c9b-4348-a7f3-803dee125e43).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764664.

Council of Science Editors:

Wilson D. Local time-space calculus with applications. [Doctoral Dissertation]. University of Manchester; 2018. Available from: https://www.research.manchester.ac.uk/portal/en/theses/local-timespace-calculus-with-applications(f04e32e3-4c9b-4348-a7f3-803dee125e43).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764664

University of Manchester

12. Wilson, Daniel. Local Time-Space Calculus with Applications.

Degree: 2019, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317837

See full text for abstract. Advisors/Committee Members: VAN SCHAIK, KEES K, Peskir, Goran, Van Schaik, Kees.

Subjects/Keywords: Local Time; Stochastic Calculus; Stochastic Differential Equations

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APA (6^th Edition):

Wilson, D. (2019). Local Time-Space Calculus with Applications. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317837

Chicago Manual of Style (16^th Edition):

Wilson, Daniel. “Local Time-Space Calculus with Applications.” 2019. Doctoral Dissertation, University of Manchester. Accessed December 15, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317837.

MLA Handbook (7^th Edition):

Wilson, Daniel. “Local Time-Space Calculus with Applications.” 2019. Web. 15 Dec 2019.

Vancouver:

Wilson D. Local Time-Space Calculus with Applications. [Internet] [Doctoral dissertation]. University of Manchester; 2019. [cited 2019 Dec 15]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317837.

Council of Science Editors:

Wilson D. Local Time-Space Calculus with Applications. [Doctoral Dissertation]. University of Manchester; 2019. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317837

13. Mermigas, Dimitrios. Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων.

Degree: 2012, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς

URL: http://hdl.handle.net/10442/hedi/34593

►

The world around us has already entered in a whole new era, regarding the use of Information Systems. The consequence of that is the increasing… (more)

▼

The world around us has already entered in a whole new era, regarding the use of Information Systems. The consequence of that is the increasing dependence, upon Information Systems of various corporations, which frequently base their success on their continuous (24x7) operation. Within this context, the mitigation of risks that a corporation faces, and especially those that could potentially affect the corporation’s Information Systems, has become more pressing than ever. However, in order to be able to mitigate the risks, we should first be able to measure how secure our Information System is.This thesis makes an effort to address this complicated topic, identify any possible risk repeating time pattern, as well as, to suggest a new, objective, accurate and unbiased method for calculating the security level of an Information System. To this end, it explores the usage of stochastic calculus, which by definition can handle the time factor, and produce a solid, objective and unbiased result

Ο κόσμος γύρω μας, έχει εισέλθει σε μία εντελώς νέα εποχή, αναφορικά με τη χρήση των συστημάτων πληροφορικής. Φυσικό αποτέλεσμα αυτού, είναι η ολοένα και μεγαλύτερη εξάρτηση, από τα διάφορα συστήματα πληροφορικής των επιχειρήσεων, που συχνά βασίζουν την επιτυχία τους, στην αδιάλειπτη (24x7) λειτουργία τους. Στο πλαίσιο αυτό, η αντιμετώπιση των κινδύνων που αντιμετωπίζει μία επιχείρηση, και ειδικότερα, εκείνων των κινδύνων που μπορούν δυνητικά να επηρεάσουν τα συστήματα πληροφορικής που διαθέτει, έχει γίνει επιτακτική. Όμως για να είναι δυνατή η αντιμετώπιση των κινδύνων, πρέπει πρώτα να μπορούμε να μετρήσουμε πόσο ασφαλές είναι το σύστημα πληροφορικής που διαθέτουμε.Η παρούσα διατριβή, προσπαθεί να προσεγγίσει αυτό το πολύπλοκο πρόβλημα, να αναγνωρίσει πιθανά χρονικά πρότυπα επανάληψης κινδύνων, και τέλος να προτείνει μία νέα, αντικειμενική, ακριβή και αμερόληπτη μέθοδο υπολογισμού του επιπέδου της ασφάλειας ενός συστήματος πληροφορικής. Για το σκοπό αυτό, χρησιμοποιεί στοχαστικές μεθόδους, που από τη φύση τους μπορούν να διαχειριστούν τον παράγοντα χρόνου, και μπορούν να δώσουν ένα αριθμητικό, μη αμφισβητήσιμο και αμερόληπτο αποτέλεσμα.

Subjects/Keywords: Ποσοτικοποίηση ασφάλειας; Στοχαστικές διαδικασίες; Ασφάλεια; Διαχείριση κινδύνου; Security quantification; Stochastic calculus; Computer security; Risk management

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APA (6^th Edition):

Mermigas, D. (2012). Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων. (Thesis). University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Retrieved from http://hdl.handle.net/10442/hedi/34593

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mermigas, Dimitrios. “Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων.” 2012. Thesis, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Accessed December 15, 2019. http://hdl.handle.net/10442/hedi/34593.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mermigas, Dimitrios. “Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων.” 2012. Web. 15 Dec 2019.

Vancouver:

Mermigas D. Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων. [Internet] [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2012. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/10442/hedi/34593.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mermigas D. Ποσοτικοποίηση της ασφάλειας συστημάτων πληροφορικής με τη χρήση στοχαστικών μεθόδων. [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2012. Available from: http://hdl.handle.net/10442/hedi/34593

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

UCLA

14. Mahboubi, Pejman. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.

Degree: Mathematics, 2012, UCLA

URL: http://www.escholarship.org/uc/item/9zc7t81k

► In recent decades, as a result of mathematicians' endeavor to come up with more realistic models for complex phenomena, the acceptance of a stochastic model… (more)

Subjects/Keywords: Mathematics; Intermittency; KPZ; Lyapunov Exponents; Malliavin Calculus; Martingale Measures; Stochastic Partial Differential Equations

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Mahboubi, P. (2012). Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. (Thesis). UCLA. Retrieved from http://www.escholarship.org/uc/item/9zc7t81k

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mahboubi, Pejman. “Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.” 2012. Thesis, UCLA. Accessed December 15, 2019. http://www.escholarship.org/uc/item/9zc7t81k.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mahboubi, Pejman. “Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.” 2012. Web. 15 Dec 2019.

Vancouver:

Mahboubi P. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. [Internet] [Thesis]. UCLA; 2012. [cited 2019 Dec 15]. Available from: http://www.escholarship.org/uc/item/9zc7t81k.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mahboubi P. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. [Thesis]. UCLA; 2012. Available from: http://www.escholarship.org/uc/item/9zc7t81k

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

15. Harter, Jonathan. Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value.

Degree: Docteur es, Mathématiques Pures, 2018, Bordeaux

URL: http://www.theses.fr/2018BORD0074

►

Définies il y a quelques décennies, les martingales dans les variétés sont maintenant des objets bien connus. Des questions très simples restent en suspens cependant.… (more)

▼

Définies il y a quelques décennies, les martingales dans les variétés sont maintenant des objets bien connus. Des questions très simples restent en suspens cependant. Par exemple,étant donnée une variable aléatoire à valeurs dans une variété complète, et une filtration continue(dont toute martingale réelle possède une version continue), existe-t-il une martingale continue dans cette variété qui a pour valeur terminale donnée cette variable aléatoire ? Que dire des semimartingales de valeur terminale et dérives données ? Le but principal de cette thèse est d’apporter des réponses à ces questions. Sous des hypothèses de géométrie convexe, des réponses sont données dans les articles de Kendall (1990), Picard (1991), Picard (1994), Darling (1995) ou encore Arnaudon (1997). Le cas des semimartingales a plus largement été traité par Blache (2004). Les martingales dans les variétés permettent de définir les barycentres associés à une filtration, qui sont parfois plus simples à calculer que les barycentres usuels ou les moyennes, et qui possèdent une propriété d’associativité. Ils sont fortement reliés à la théorie du contrôle, à l’optimisation stochastique, ainsi qu’aux équations différentielles stochastiques rétrogrades (EDSRs). La résolution du problème avec des arguments géométriques donne par ailleurs des outils pour résoudre des EDSRs quadratiques multidimensionnelles.Au cours de cette thèse deux principales méthodes ont été employées pour étudier le problème de l’existence de martingale de valeur terminale donnée. La première est basée sur un algorithme stochastique. La variable aléatoire que l’on cherchera à atteindre sera d’abord déformée en une famille x (a) de classe C 1, et on se posera la question suivante : existe-t-il une martingale X(a) de valeur terminale x (a) ? Une méthode de tir, selon un principe similaire au tir géodésique déterministe, sera employée relativement au paramètre a en direction de la variable aléatoire x (a). La seconde est basée sur la résolution générale d’une EDSR multidimensionnelle à croissance quadratique. La principale problématique de cette partie sera d’adapter au cadre multidimensionnel une stratégie récente développée par Briand et Elie (2013) permettant de traiter les EDSRs quadratiques multidimensionnelles. Cette approche nouvelle permet de retrouver la plupart des résultats partiels obtenus par des méthodes différentes. Au-delà de l’intérêt unifiant,cette nouvelle approche ouvre la voie à de potentiels futurs travaux.

Defined several decades ago, martingales in manifolds are very canonical objects. About these objects very simple questions are still unresolved. For instance, given a random variable with values in a complete manifold and a continuous filtration (one with respect to which all real-valued martingales admit a continuous version), does there exist a continuous martingale in the manifold with terminal value given by this random variable ? What about semimartingales with prescribed drift and terminal value ? The main aim of this thesis is to provide answers to…

Advisors/Committee Members: Arnaudon, Marc (thesis director).

Subjects/Keywords: Martingales; Variétés; Calcul stochastique; EDSRs; EDSRs quadratiques; Martingales; Manifolds; Stochastic calculus; BSDEs; Quadratic BSDEs

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Harter, J. (2018). Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value. (Doctoral Dissertation). Bordeaux. Retrieved from http://www.theses.fr/2018BORD0074

Chicago Manual of Style (16^th Edition):

Harter, Jonathan. “Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value.” 2018. Doctoral Dissertation, Bordeaux. Accessed December 15, 2019. http://www.theses.fr/2018BORD0074.

MLA Handbook (7^th Edition):

Harter, Jonathan. “Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value.” 2018. Web. 15 Dec 2019.

Vancouver:

Harter J. Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value. [Internet] [Doctoral dissertation]. Bordeaux; 2018. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2018BORD0074.

Council of Science Editors:

Harter J. Martingales sur les variétés de valeur terminale donnée : Martingales in manifolds with prescribed terminal value. [Doctoral Dissertation]. Bordeaux; 2018. Available from: http://www.theses.fr/2018BORD0074

University of Kansas

16. ZHOU, HONGJUAN. Parameter estimation for stochastic differential equations driven by fractional Brownian motion.

Degree: PhD, Mathematics, 2018, University of Kansas

URL: http://hdl.handle.net/1808/27944

► This dissertation systematically considers the inference problem for stochastic differential equations (SDE) driven by fractional Brownian motion. For the volatility parameter and Hurst parameter, the… (more)

Subjects/Keywords: Mathematics; Statistics; fractional Brownian motion; Malliavin calculus; parameter estimation; power variation; stochastic differential equation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

ZHOU, H. (2018). Parameter estimation for stochastic differential equations driven by fractional Brownian motion. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/27944

Chicago Manual of Style (16^th Edition):

ZHOU, HONGJUAN. “Parameter estimation for stochastic differential equations driven by fractional Brownian motion.” 2018. Doctoral Dissertation, University of Kansas. Accessed December 15, 2019. http://hdl.handle.net/1808/27944.

MLA Handbook (7^th Edition):

ZHOU, HONGJUAN. “Parameter estimation for stochastic differential equations driven by fractional Brownian motion.” 2018. Web. 15 Dec 2019.

Vancouver:

ZHOU H. Parameter estimation for stochastic differential equations driven by fractional Brownian motion. [Internet] [Doctoral dissertation]. University of Kansas; 2018. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1808/27944.

Council of Science Editors:

ZHOU H. Parameter estimation for stochastic differential equations driven by fractional Brownian motion. [Doctoral Dissertation]. University of Kansas; 2018. Available from: http://hdl.handle.net/1808/27944

17. Benoist, Tristan. Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques.

Degree: Docteur es, Physique mathématique, 2014, Paris, Ecole normale supérieure

URL: http://www.theses.fr/2014ENSU0006

►

De nombreux phénomènes de physique quantique ne peuvent être compris que par l'analyse des systèmes ouverts. Un appareil de mesure, par exemple, est un système… (more)

▼

De nombreux phénomènes de physique quantique ne peuvent être compris que par l'analyse des systèmes ouverts. Un appareil de mesure, par exemple, est un système macroscopique en contact avec un système quantique. Ainsi, tout modèle d'expérience doit prendre en compte les dynamiques propres aux systèmes ouverts. Ces dynamiques peuvent être complexes : l'interaction du système avec son environnement peut modifier ses propriétés, l'interaction peu créer des effets de mémoire dans l'évolution du système, . . . Ces dynamiques sont particulièrement importantes dans l'étude des expériences d'optique quantique. Nous sommes aujourd'hui capables de manipuler individuellement des particules. Pour cela la compréhension et le contrôle de l'influence de l'environnement est crucial. Dans cette thèse nous étudions d'un point de vue théorique quelques procédures communément utilisées en optique quantique. Avant la présentation de nos résultats, nous introduisons et motivons l'utilisation de la description markovienne des systèmes quantiques ouverts. Nous présentons a la fois les équations maîtresses et le calcul stochastique quantique. Nous introduisons ensuite la notion de trajectoire quantique pour la description des mesures indirectes continues. C'est dans ce contexte que l'on présente les résultats obtenus au cours de cette thèse. Dans un premier temps, nous étudions la convergence des mesures non destructives. Nous montrons qu'elles reproduisent la réduction du paquet d'onde du système mesuré. Nous montrons que cette convergence est exponentielle avec un taux fixe. Nous bornons le temps moyen de convergence. Dans ce cadre, en utilisant les techniques de changement de mesure par martingale, nous obtenons la limite continue des trajectoires quantiques discrètes. Dans un second temps, nous étudions l'influence de l'enregistrement des résultats de mesure sur la préparation d'état par ingénierie de réservoir. Nous montrons que l'enregistrement des résultats de mesure n'a pas d'influence sur la convergence proprement dite. Cependant, nous trouvons que l'enregistrement des résultats de mesure modifie le comportement du système avant la convergence. Nous retrouvons une convergence exponentielle avec un taux équivalent au taux sans enregistrement. Mais nous trouvons aussi un nouveau taux de convergence correspondant a une stabilité asymptotique. Ce dernier taux est interprété comme une mesure non destructive ajoutée. Ainsi l'état du système ne converge qu'après un temps aléatoire. A partir de ce temps la convergence peut être bien plus rapide. Nous obtenons aussi une borne sur le temps moyen de convergence.

Many quantum physics phenomena can only be understood in the context of open system analysis. For example a measurement apparatus is a macroscopic system in contact with a quantum system. Therefore any experiment model needs to take into account open system behaviors. These behaviors can be complex: the interaction of the system with its environment might modify its properties, the interaction may induce memory effects in the system…

Advisors/Committee Members: Bernard, Denis (thesis director).

Subjects/Keywords: Systèmes ouverts; Calcul Stochastique Quantique; Trajectoires quantiques; Igénierie de réservoir; Open systems; Quantum Stochastic Calculus; Quantum trajectories; Reservoir engineering; 530.15

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Benoist, T. (2014). Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques. (Doctoral Dissertation). Paris, Ecole normale supérieure. Retrieved from http://www.theses.fr/2014ENSU0006

Chicago Manual of Style (16^th Edition):

Benoist, Tristan. “Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques.” 2014. Doctoral Dissertation, Paris, Ecole normale supérieure. Accessed December 15, 2019. http://www.theses.fr/2014ENSU0006.

MLA Handbook (7^th Edition):

Benoist, Tristan. “Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques.” 2014. Web. 15 Dec 2019.

Vancouver:

Benoist T. Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques. [Internet] [Doctoral dissertation]. Paris, Ecole normale supérieure; 2014. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2014ENSU0006.

Council of Science Editors:

Benoist T. Open quantum systems and quantum stochastic processes : Systèmes quantiques ouverts et processus stochastiques quantiques. [Doctoral Dissertation]. Paris, Ecole normale supérieure; 2014. Available from: http://www.theses.fr/2014ENSU0006

EPFL

18. Kalbasi, Kamran. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.

Degree: 2014, EPFL

URL: http://infoscience.epfl.ch/record/202160

► We consider the parabolic Anderson model on ℤ^d driven by fractional noise. We prove that it has a mild solution given by Feynman-Kac representation which… (more)

Subjects/Keywords: Parabolic Anderson model; Stochastic heat equation; Fractional Brownian motion; Feynman-Kac formula; Lyapunov exponents; Malliavin calculus

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APA (6^th Edition):

Kalbasi, K. (2014). Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. (Thesis). EPFL. Retrieved from http://infoscience.epfl.ch/record/202160

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kalbasi, Kamran. “Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.” 2014. Thesis, EPFL. Accessed December 15, 2019. http://infoscience.epfl.ch/record/202160.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kalbasi, Kamran. “Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.” 2014. Web. 15 Dec 2019.

Vancouver:

Kalbasi K. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. [Internet] [Thesis]. EPFL; 2014. [cited 2019 Dec 15]. Available from: http://infoscience.epfl.ch/record/202160.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kalbasi K. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. [Thesis]. EPFL; 2014. Available from: http://infoscience.epfl.ch/record/202160

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

19. Arras, Benjamin. Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments.

Degree: Docteur es, Mathématiques, 2014, Châtenay-Malabry, Ecole centrale de Paris

URL: http://www.theses.fr/2014ECAP0060

►

Dans ce travail de thèse, nous nous intéressons à certaines propriétés d'une classe de processus stochastiques à accroissements stationnaires et autosimilaires. Ces processus sont représentés… (more)

▼

Dans ce travail de thèse, nous nous intéressons à certaines propriétés d'une classe de processus stochastiques à accroissements stationnaires et autosimilaires. Ces processus sont représentés par des intégrales multiples de Wiener-Itô. Dans le premier chapitre, nous étudions les propriétés géométriques des trajectoires de ce type de processus. En particulier, nous obtenons un développement en ondelettes presque-sûr. Celui-ci permet alors de trouver une borne supérieure pour le module de continuité uniforme, une borne supérieure pour le comportement asymptotique du processus et un résultat presque-sûr concernant les coefficients ponctuel et local de Hölder. De plus, nous obtenons des bornes inférieures et supérieures pour les dimensions de Hausdorff du graphe et de l'image des versions multidimensionnelles anisotropes de la classe de processus considérée. Dans le deuxième et le troisième chapitre de cette thèse, nous nous intéressons au calcul différentiel stochastique relatif au processus de Rosenblatt. A l'aide de la théorie des distributions de Hida, nous définissons une intégrale stochastique par rapport au processus de Rosenblatt. Nous obtenons une formule d'Itô pour certaines fonctionnelles du processus de Rosenblatt. Nous calculons explicitement la variance de l'intégrale stochastique par rapport au processus de Rosenblatt pour une classe spécifique d'intégrandes aléatoires. Enfin, nous comparons l'intégrale introduite avec d'autres définitions utilisées dans la littérature et procédons à une étude fine des termes résiduels faisant le lien entre ces différentes définitions.

In this PhD thesis, we are concerned with some properties of a class of self-similar stochastic processes with stationary increments. These processes are represented by multiple Wiener-Itô integrals. In the first chapter, we study geometric properties of the sample path of this type of processes. Specifically, we obtain an almost sure wavelet expansion which, in turn, allows us to compute an upper bound for the uniform modulus of continuity, an upper bound for the asymptotic growth at infinity of the processes and the almost sure values of the pointwise and local Hölder exponents at any points. Moreover, we obtain lower and upper bounds for the Hausdorff dimensions of the graph and the image of multidimensional anisotropic versions of the class of processes previously considered. In the second and in the third chapters, we are interested in the stochastic calculus with respect to the Rosenblatt process. Using Hida distributions theory, we define a stochastic integral with respect to the Rosenblatt process. We obtain an Itô formula for some functional of the Rosenblatt process. We compute explicitly the variance of the stochastic integral with respect to the Rosenblatt process for a specific class of stochastic integrands. At last, we compare the considered integral with other definitions used in the literature and provide a careful analysis of the residual terms linking the different definitions of integrals.

Advisors/Committee Members: Lévy Véhel, Jacques (thesis director).

Subjects/Keywords: Calcul stochastique; Développement en ondelettes; Intégrale multuple de Wiener-Itô; Stochastic calculus; Wavelet expansion; Multiple Wiener-Itô integral

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Arras, B. (2014). Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments. (Doctoral Dissertation). Châtenay-Malabry, Ecole centrale de Paris. Retrieved from http://www.theses.fr/2014ECAP0060

Chicago Manual of Style (16^th Edition):

Arras, Benjamin. “Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments.” 2014. Doctoral Dissertation, Châtenay-Malabry, Ecole centrale de Paris. Accessed December 15, 2019. http://www.theses.fr/2014ECAP0060.

MLA Handbook (7^th Edition):

Arras, Benjamin. “Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments.” 2014. Web. 15 Dec 2019.

Vancouver:

Arras B. Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments. [Internet] [Doctoral dissertation]. Châtenay-Malabry, Ecole centrale de Paris; 2014. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2014ECAP0060.

Council of Science Editors:

Arras B. Autour de quelques processus à accroissements stationnaires et autosimilaires : Around some selfsimilar processes with stationary increments. [Doctoral Dissertation]. Châtenay-Malabry, Ecole centrale de Paris; 2014. Available from: http://www.theses.fr/2014ECAP0060

Loughborough University

20. Luo, Ye. Random periodic solutions of stochastic functional differential equations.

Degree: PhD, 2014, Loughborough University

URL: https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608

► In this thesis, we study the existence of random periodic solutions for both nonlinear dissipative stochastic functional differential equations (SFDEs) and semilinear nondissipative SFDEs in… (more)

Subjects/Keywords: 519.2; Random periodic solution; Random dynamical system; Stochastic functional differential equation; Pullback-convergence technique; Coupling method; Malliavin calculus; Relative compactness.

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APA (6^th Edition):

Luo, Y. (2014). Random periodic solutions of stochastic functional differential equations. (Doctoral Dissertation). Loughborough University. Retrieved from https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608

Chicago Manual of Style (16^th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Doctoral Dissertation, Loughborough University. Accessed December 15, 2019. https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608.

MLA Handbook (7^th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Web. 15 Dec 2019.

Vancouver:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Internet] [Doctoral dissertation]. Loughborough University; 2014. [cited 2019 Dec 15]. Available from: https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608.

Council of Science Editors:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Doctoral Dissertation]. Loughborough University; 2014. Available from: https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608

21. Aboura, Omar. Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available.

Degree: Docteur es, Mathématiques, 2013, Paris 1

URL: http://www.theses.fr/2013PA010071

►

Dans la première partie de cette thèse, nous obtenons l’existence d’une densité et des estimées gaussiennes pour la solution d’une équation différentielle stochastique rétrograde. C’est… (more)

Subjects/Keywords: Équation différentielle stochastique; Calcul de Malliavin; Équation de la chaleur; Schéma d’Euler; Stochastic differential equations; Malliavin calculus; Euler scheme; 519

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Aboura, O. (2013). Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available. (Doctoral Dissertation). Paris 1. Retrieved from http://www.theses.fr/2013PA010071

Chicago Manual of Style (16^th Edition):

Aboura, Omar. “Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available.” 2013. Doctoral Dissertation, Paris 1. Accessed December 15, 2019. http://www.theses.fr/2013PA010071.

MLA Handbook (7^th Edition):

Aboura, Omar. “Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available.” 2013. Web. 15 Dec 2019.

Vancouver:

Aboura O. Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available. [Internet] [Doctoral dissertation]. Paris 1; 2013. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2013PA010071.

Council of Science Editors:

Aboura O. Approximation et estimation de densité pour des équations d'évolution stochastique : No English title available. [Doctoral Dissertation]. Paris 1; 2013. Available from: http://www.theses.fr/2013PA010071

University of Notre Dame

22. Patrick Mousaw. Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>.

Degree: PhD, Chemical Engineering, 2011, University of Notre Dame

URL: https://curate.nd.edu/show/76537081527

► This dissertation introduces a modeling framework, suitable for analysis, for systems that can be characterized either directly by the first and second laws of… (more)

Subjects/Keywords: stochastic calculus; advance process controls; bilinear optimization; hedging; risk management; quantitative finance; monte carle; branch and bound; finite-time thermodynamics

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APA (6^th Edition):

Mousaw, P. (2011). Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>. (Doctoral Dissertation). University of Notre Dame. Retrieved from https://curate.nd.edu/show/76537081527

Chicago Manual of Style (16^th Edition):

Mousaw, Patrick. “Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>.” 2011. Doctoral Dissertation, University of Notre Dame. Accessed December 15, 2019. https://curate.nd.edu/show/76537081527.

MLA Handbook (7^th Edition):

Mousaw, Patrick. “Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>.” 2011. Web. 15 Dec 2019.

Vancouver:

Mousaw P. Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>. [Internet] [Doctoral dissertation]. University of Notre Dame; 2011. [cited 2019 Dec 15]. Available from: https://curate.nd.edu/show/76537081527.

Council of Science Editors:

Mousaw P. Valuation of Flexible Fuel Energy Conversion Networks Under Uncertainty</h1>. [Doctoral Dissertation]. University of Notre Dame; 2011. Available from: https://curate.nd.edu/show/76537081527

University of Adelaide

23. Bonnet, Frederic D. R. Option pricing using path integrals.

Degree: 2010, University of Adelaide

URL: http://hdl.handle.net/2440/56951

► It is well established that stock market volatility has a memory of the past, moreover it is found that volatility correlations are long ranged. As… (more)

Subjects/Keywords: financial engineering; stochastic calculus; path integral; quantum field theory; fat tails; option pricing; Options Prices Mathematical models

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APA (6^th Edition):

Bonnet, F. D. R. (2010). Option pricing using path integrals. (Thesis). University of Adelaide. Retrieved from http://hdl.handle.net/2440/56951

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Bonnet, Frederic D R. “Option pricing using path integrals.” 2010. Thesis, University of Adelaide. Accessed December 15, 2019. http://hdl.handle.net/2440/56951.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Bonnet, Frederic D R. “Option pricing using path integrals.” 2010. Web. 15 Dec 2019.

Vancouver:

Bonnet FDR. Option pricing using path integrals. [Internet] [Thesis]. University of Adelaide; 2010. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/2440/56951.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bonnet FDR. Option pricing using path integrals. [Thesis]. University of Adelaide; 2010. Available from: http://hdl.handle.net/2440/56951

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Kansas

24. Jaramillo, Arturo. Limit distributions for functionals of Gaussian processes.

Degree: PhD, Mathematics, 2018, University of Kansas

URL: http://hdl.handle.net/1808/27886

► This thesis is devoted to the study of the convergence in distribution of functionals of Gaussian processes. Most of the problems that we present are… (more)

Subjects/Keywords: Mathematics; Statistics; Theoretical mathematics; fracional Brownian motion; limit theorems; Local times; Malliavin calculus; random matrices; stochastic integration

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APA (6^th Edition):

Jaramillo, A. (2018). Limit distributions for functionals of Gaussian processes. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/27886

Chicago Manual of Style (16^th Edition):

Jaramillo, Arturo. “Limit distributions for functionals of Gaussian processes.” 2018. Doctoral Dissertation, University of Kansas. Accessed December 15, 2019. http://hdl.handle.net/1808/27886.

MLA Handbook (7^th Edition):

Jaramillo, Arturo. “Limit distributions for functionals of Gaussian processes.” 2018. Web. 15 Dec 2019.

Vancouver:

Jaramillo A. Limit distributions for functionals of Gaussian processes. [Internet] [Doctoral dissertation]. University of Kansas; 2018. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1808/27886.

Council of Science Editors:

Jaramillo A. Limit distributions for functionals of Gaussian processes. [Doctoral Dissertation]. University of Kansas; 2018. Available from: http://hdl.handle.net/1808/27886

Loughborough University

25. Luo, Ye. Random periodic solutions of stochastic functional differential equations.

Degree: PhD, 2014, Loughborough University

URL: http://hdl.handle.net/2134/16112

► In this thesis, we study the existence of random periodic solutions for both nonlinear dissipative stochastic functional differential equations (SFDEs) and semilinear nondissipative SFDEs in… (more)

Subjects/Keywords: 519.2; Random periodic solution; Random dynamical system; Stochastic functional differential equation; Pullback-convergence technique; Coupling method; Malliavin calculus; Relative compactness.

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APA (6^th Edition):

Luo, Y. (2014). Random periodic solutions of stochastic functional differential equations. (Doctoral Dissertation). Loughborough University. Retrieved from http://hdl.handle.net/2134/16112

Chicago Manual of Style (16^th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Doctoral Dissertation, Loughborough University. Accessed December 15, 2019. http://hdl.handle.net/2134/16112.

MLA Handbook (7^th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Web. 15 Dec 2019.

Vancouver:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Internet] [Doctoral dissertation]. Loughborough University; 2014. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/2134/16112.

Council of Science Editors:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Doctoral Dissertation]. Loughborough University; 2014. Available from: http://hdl.handle.net/2134/16112

26. De Marco, Stefano. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.

Degree: Docteur es, Mathématiques appliquées et applications des mathématiques, 2010, Université Paris-Est

URL: http://www.theses.fr/2010PEST1017

►

Des travaux récents dans le domaine des mathématiques financières ont fait émerger l'importance de l'étude de la régularité et du comportement fin des queues de… (more)

▼

Des travaux récents dans le domaine des mathématiques financières ont fait émerger l'importance de l'étude de la régularité et du comportement fin des queues de distribution pour certaines classes de diffusions à coefficients non globalement réguliers. Dans cette thèse, nous traitons des problèmes issus de ce contexte. Nous étudions d'abord l'existence, la régularité et l'asymptotique en espace de densités pour les solutions d'équations différentielles stochastiques en n'imposant que des conditions locales sur les coefficients de l'équation. Notre analyse se base sur les outils du calcul de Malliavin et sur des estimations pour les processus d'Ito confinés dans un tube autour d'une courbe déterministe. Nous obtenons des estimations significatives de la fonction de répartition et de la densité dans des classes de modèles comprenant des généralisations du CIR et du CEV et des modèles à volatilité locale-stochastique : dans ce deuxième cas, les estimations entraînent l'explosion des moments du sous-jacent et ont ainsi un impact sur le comportement asymptotique en strike de la volatilité implicite. La modélisation paramétrique de la surface de volatilité, à son tour, fait l'objet de la deuxième partie. Nous considérons le modèle SVI de J. Gatheral, en proposant une nouvelle stratégie de calibration quasi-explicite, dont nous illustrons les performances sur des données de marché. Ensuite, nous analysons la capacité du SVI à générer des approximations pour les smiles symétriques, en le généralisant à un modèle dépendant du temps. Nous en testons l'application à un modèle de Heston (sans et avec déplacement), en générant des approximations semi-fermées pour le smile de volatilité

Some recent works in the field of mathematical finance have brought new light on the importance of studying the regularity and the tail asymptotics of distributions for certain classes of diffusions with non-globally smooth coefficients. In this Ph.D. dissertation we deal with some issues in this framework. In a first part, we study the existence, smoothness and space asymptotics of densities for the solutions of stochastic differential equations assuming only local conditions on the coefficients of the equation. Our analysis is based on Malliavin calculus tools and on « tube estimates » for Ito processes, namely estimates for the probability that the trajectory of an Ito process remains close to a deterministic curve. We obtain significant estimates of densities and distribution functions in general classes of option pricing models, including generalisations of CIR and CEV processes and Local-Stochastic Volatility models. In the latter case, the estimates we derive have an impact on the moment explosion of the underlying price and, consequently, on the large-strike behaviour of the implied volatility. Parametric implied volatility modeling, in its turn, makes the object of the second part. In particular, we focus on J. Gatheral's SVI model, first proposing an effective quasi-explicit calibration procedure and displaying its performances on…

Advisors/Committee Members: Bally, Vlad (thesis director).

Subjects/Keywords: Equations différentielles Stochastiques; Mathématiques financières; Estimation de densités; Calcul de Malliavin; Volatilité stochastique; Volatilité implicite; Stochastic differential equations; Mathematical Finance; Density estimation; Malliavin calculus; Stochastic Volatility; Implied volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

De Marco, S. (2010). On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2010PEST1017

Chicago Manual of Style (16^th Edition):

De Marco, Stefano. “On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.” 2010. Doctoral Dissertation, Université Paris-Est. Accessed December 15, 2019. http://www.theses.fr/2010PEST1017.

MLA Handbook (7^th Edition):

De Marco, Stefano. “On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.” 2010. Web. 15 Dec 2019.

Vancouver:

De Marco S. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. [Internet] [Doctoral dissertation]. Université Paris-Est; 2010. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2010PEST1017.

Council of Science Editors:

De Marco S. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. [Doctoral Dissertation]. Université Paris-Est; 2010. Available from: http://www.theses.fr/2010PEST1017

27. Almada Monter, Sergio Angel. Scaling limit for the diffusion exit problem.

Degree: PhD, Mathematics, 2011, Georgia Tech

URL: http://hdl.handle.net/1853/39518

► A stochastic differential equation with vanishing martingale term is studied. Specifically, given a domain D, the asymptotic scaling properties of both the exit time from… (more)

Subjects/Keywords: Stochastic calculus; Small noise; Stochastic dynamics; Probability; Dynamical systems; Stochastic differential equations; Stochastic analysis; Dynamics

…36 6 ix SUMMARY A stochastic differential equation with vanishing martingale term is… …stochastic pathwise expansions in noise intensity series. x CHAPTER I INTRODUCTION In this… …see [41] or [54] for all stochastic analysis references). 1 Given… …stochastic partial differential equations version of the theory. In Section 1.1 we give a brief… …stochastic flows. (2) The question now is to find the optimal constant CT,δ in (5…

5 more images…

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APA (6^th Edition):

Almada Monter, S. A. (2011). Scaling limit for the diffusion exit problem. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/39518

Chicago Manual of Style (16^th Edition):

Almada Monter, Sergio Angel. “Scaling limit for the diffusion exit problem.” 2011. Doctoral Dissertation, Georgia Tech. Accessed December 15, 2019. http://hdl.handle.net/1853/39518.

MLA Handbook (7^th Edition):

Almada Monter, Sergio Angel. “Scaling limit for the diffusion exit problem.” 2011. Web. 15 Dec 2019.

Vancouver:

Almada Monter SA. Scaling limit for the diffusion exit problem. [Internet] [Doctoral dissertation]. Georgia Tech; 2011. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1853/39518.

Council of Science Editors:

Almada Monter SA. Scaling limit for the diffusion exit problem. [Doctoral Dissertation]. Georgia Tech; 2011. Available from: http://hdl.handle.net/1853/39518

Université de Montréal

28. Simard, Clarence. Modélisation du carnet d'ordres limites et prévision de séries temporelles .

Degree: 2015, Université de Montréal

URL: http://hdl.handle.net/1866/11670

► Le contenu de cette thèse est divisé de la façon suivante. Après un premier chapitre d’introduction, le Chapitre 2 est consacré à introduire aussi simplement… (more)

▼ Le contenu de cette thèse est divisé de la façon suivante. Après un premier chapitre d’introduction, le Chapitre 2 est consacré à introduire aussi simplement que possible certaines des théories qui seront utilisées dans les deux premiers articles. Dans un premier temps, nous discuterons des points importants pour la construction de l’intégrale stochastique par rapport aux semimartingales avec paramètre spatial. Ensuite, nous décrirons les principaux résultats de la théorie de l’évaluation en monde neutre au risque et, finalement, nous donnerons une brève description d’une méthode d’optimisation connue sous le nom de dualité. Les Chapitres 3 et 4 traitent de la modélisation de l’illiquidité et font l’objet de deux articles. Le premier propose un modèle en temps continu pour la structure et le comportement du carnet d’ordres limites. Le comportement du portefeuille d’un investisseur utilisant des ordres de marché est déduit et des conditions permettant d’éliminer les possibilités d’arbitrages sont données. Grâce à la formule d’Itô généralisée il est aussi possible d’écrire la valeur du portefeuille comme une équation différentielle stochastique. Un exemple complet de modèle de marché est présenté de même qu’une méthode de calibrage. Dans le deuxième article, écrit en collaboration avec Bruno Rémillard, nous proposons un modèle similaire mais cette fois-ci en temps discret. La question de tarification des produits dérivés est étudiée et des solutions pour le prix des options européennes de vente et d’achat sont données sous forme explicite. Des conditions spécifiques à ce modèle qui permettent d’éliminer l’arbitrage sont aussi données. Grâce à la méthode duale, nous montrons qu’il est aussi possible d’écrire le prix des options européennes comme un problème d’optimisation d’une espérance sur en ensemble de mesures de probabilité. Le Chapitre 5 contient le troisième article de la thèse et porte sur un sujet différent. Dans cet article, aussi écrit en collaboration avec Bruno Rémillard, nous proposons une méthode de prévision des séries temporelles basée sur les copules multivariées. Afin de mieux comprendre le gain en performance que donne cette méthode, nous étudions à l’aide d’expériences numériques l’effet de la force et la structure de dépendance sur les prévisions. Puisque les copules permettent d’isoler la structure de dépendance et les distributions marginales, nous étudions l’impact de différentes distributions marginales sur la performance des prévisions. Finalement, nous étudions aussi l’effet des erreurs d’estimation sur la performance des prévisions. Dans tous les cas, nous comparons la performance des prévisions en utilisant des prévisions provenant d’une série bivariée et d’une série univariée, ce qui permet d’illustrer l’avantage de cette méthode. Dans un intérêt plus pratique, nous présentons une application complète sur des données financières. Advisors/Committee Members: Rémillard, Bruno (advisor).

Subjects/Keywords: Mathématiques financières; Modélisation; Carnet d'ordres limites; Arbitrage; Tarification d'options; Calcul stochastique; Copules; Séries temporelles; Prévisions; Financial mathematics; Modeling; Limit order book; Option pricing; Stochastic calculus; Copulas; Time series; Predictions

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APA (6^th Edition):

Simard, C. (2015). Modélisation du carnet d'ordres limites et prévision de séries temporelles . (Thesis). Université de Montréal. Retrieved from http://hdl.handle.net/1866/11670

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Simard, Clarence. “Modélisation du carnet d'ordres limites et prévision de séries temporelles .” 2015. Thesis, Université de Montréal. Accessed December 15, 2019. http://hdl.handle.net/1866/11670.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Simard, Clarence. “Modélisation du carnet d'ordres limites et prévision de séries temporelles .” 2015. Web. 15 Dec 2019.

Vancouver:

Simard C. Modélisation du carnet d'ordres limites et prévision de séries temporelles . [Internet] [Thesis]. Université de Montréal; 2015. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1866/11670.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Simard C. Modélisation du carnet d'ordres limites et prévision de séries temporelles . [Thesis]. Université de Montréal; 2015. Available from: http://hdl.handle.net/1866/11670

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

29. Laquerrière, Benjamin. Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes.

Degree: Docteur es, Mathématiques et applications, 2012, La Rochelle

URL: http://www.theses.fr/2012LAROS364

►

Dans la première partie de cette thèse, on présente des inégalités de concentration convexe pour des intégrales stochastiques. Ces résultats sont obtenus par calcul stochastique… (more)

Subjects/Keywords: Inégalités de déviation; Inégalités de concentration convexe; Calcul stochastique forward/backward; Mouvement brownien conditionné; H-transformée; Deviation inequalities; Convex concentration inequalities; Forward/backward stochastic calculus; Conditionned brownian motion; H-transform

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APA (6^th Edition):

Laquerrière, B. (2012). Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes. (Doctoral Dissertation). La Rochelle. Retrieved from http://www.theses.fr/2012LAROS364

Chicago Manual of Style (16^th Edition):

Laquerrière, Benjamin. “Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes.” 2012. Doctoral Dissertation, La Rochelle. Accessed December 15, 2019. http://www.theses.fr/2012LAROS364.

MLA Handbook (7^th Edition):

Laquerrière, Benjamin. “Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes.” 2012. Web. 15 Dec 2019.

Vancouver:

Laquerrière B. Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes. [Internet] [Doctoral dissertation]. La Rochelle; 2012. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2012LAROS364.

Council of Science Editors:

Laquerrière B. Interpolation et comparaison de certains processus stochastiques : Stochastic interpolation and comparison of some stochastic processes. [Doctoral Dissertation]. La Rochelle; 2012. Available from: http://www.theses.fr/2012LAROS364

30. Bascompte Viladrich, David. Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time.

Degree: Departament de Matemàtiques, 2013, Universitat Autònoma de Barcelona

URL: http://hdl.handle.net/10803/129911

► In this dissertation three different problems are treated. In Chapter 1 we construct two families of processes that converge, in the sense of the finite… (more)

▼ In this dissertation three different problems are treated. In Chapter 1 we construct two families of processes that converge, in the sense of the finite dimensional distributions, towards two independent Gaussian processes. Chapter 2 is devoted to the study of a model of bacteriophage treatments for bacterial infections. Finally, in Chapter 3 we study some aspects of the L2 modulus of continuity of Brownian local time. In the first chapter we consider two independent Gaussian processes that can be represented in terms of a stochastic integral of a deterministic kernel with respect to the Wiener process and we construct, from a single Poisson process, two families of processes that converge, in the sense of the finite dimensional distributions, towards these Gaussian processes. We will use this result to prove convergence in law results towards some other processes, like sub-fractional Brownian motion. In Chapter 2 we construct and study several models that pretend to study how will behave a treatment of bateriophages in some farm animals. This problem has been brought to our attention by the Molecular Biology Group of the Department of Genetics and Microbiology at the Universitat Autònoma de Barcelona. Starting from a basic model, we will study several variations, first from a deterministic point of view, finding several results on equilibria and stability, and later in a noisy context, producing concentration type results. Finally, in Chapter 3 we shall study the decomposition on Wiener chaos of the L2 modulus of continuity of the Brownian local time. More precisely, we shall find a Central Limit Theorem for each Wiener chaos element of the L2 modulus of continuity of the Brownian local time. This result provides us with an example of a family of random variables that is convergent in law to a Normal distribution, but its chaos elements of even order do not converge. Advisors/Committee Members: [email protected] (authoremail), true (authoremailshow), Bardina i Simorra, Xavier (director), true (authorsendemail).

Subjects/Keywords: Gaussian processes; Stochastic calculus; Biology models; Ciències Experimentals; 519.1

…representation in terms of a stochastic integral of a deterministic kernel with respect to a standard… …extend this result to processes represented by a stochastic integral, with respect to a… …mean value theorem and computing the variance of the stochastic integral, we obtain that, for… …finally we will proceed to study a stochastic model. 2.1 Introduction Lately Bacteriophage…

1 more image…

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APA (6^th Edition):

Bascompte Viladrich, D. (2013). Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time. (Thesis). Universitat Autònoma de Barcelona. Retrieved from http://hdl.handle.net/10803/129911

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Bascompte Viladrich, David. “Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time.” 2013. Thesis, Universitat Autònoma de Barcelona. Accessed December 15, 2019. http://hdl.handle.net/10803/129911.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Bascompte Viladrich, David. “Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time.” 2013. Web. 15 Dec 2019.

Vancouver:

Bascompte Viladrich D. Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time. [Internet] [Thesis]. Universitat Autònoma de Barcelona; 2013. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/10803/129911.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bascompte Viladrich D. Models for bacteriophage systems, Weak convergence of Gaussian processes and L2 modulus of Brownian local time. [Thesis]. Universitat Autònoma de Barcelona; 2013. Available from: http://hdl.handle.net/10803/129911

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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Open Access Theses and Dissertations