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Filtering by: Advisor Thomann, Enrique Advisor Thomann, Enrique A. Degree Name Doctor of Philosophy (Ph.D.)

Ruin Problems with Risky Investments

Creator:

Loke, Sooie-Hoe

Abstract:

In this dissertation, we study two risk models. First, we consider the dual risk process which models the surplus of a company that incurs expenses at a constant rate and earns random positive gains at random times. When the surplus is invested in a risky asset following a geometric Brownian...

Resource Type:

Dissertation

Full Text:

10, 2015. Title: Ruin Problems with Risky Investments Abstract approved: Enrique A. Thomann In
The Stokes problem of fluid mechanics, Riesz transform, and the Helmholtz-Hodge decomposition : probabilistic methods and their representations

Creator:

Kim, HoeWoon

Abstract:

The flow of incompressible, viscous fluids in R³ is governed by the non-linear Navier-Stokes equations. Two common linearizations of the Navier-Stokes equations, the Stokes equations and the Oseen equations, are studied in this thesis using probabilistic methods. The incompressibility condition presents new challenges for the well known theory relating partial...

Resource Type:

Dissertation

Full Text:

Representations Abstract approved: Enrique A. Thomann The flow of incompressible, viscous fluids in R3 is
Optimization, conservation and valuation of contingent claims in economic resource management under uncertainty

Creator:

Jia, Siwei

Abstract:

This dissertation consists of three papers studying optimization, conservation and valuation of contingent claims in economic resource nianagement under uncertainty. In the first paper the Markovian optinial policies are studied for resource management in a finite time horizon. Under sonic conditions, in particular, when the prices are stochastic and there...

Resource Type:

Dissertation

Full Text:

Siwei Jia Ellen I. Burnes Enrique A. Thomann Edward C. Waymire 34 3.1 Abstract The issue of