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Filtering by: Decade 2010-2019 Remove constraint Decade: 2010-2019 Subject Brownian motion processes Remove constraint Subject: Brownian motion processes

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  • 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

  • Some results in probability from the functional analytic viewpoint

    Creator:
    Gelbaum, Zachary A.
    Abstract:
    This dissertation presents some results from various areas of probability theory, the unifying theme being the use of functional analytic intuition and techniques. We first give a result regarding the existence of certain stochastic integral representations for Banach space valued Gaussian random variables. Next we give a spectral geometric construction...
    Resource Type:
    Dissertation

  • Representations of fractional Brownian motion

    Creator:
    Wichitsongkram, Noppadon
    Abstract:
    Integral representations provide a useful framework of study and simulation of fractional Browian motion, which has been used in modeling of many natural situations. In this thesis we extend an integral representation of fractional Brownian motion that is supported on a bounded interval of ℝ to integral representation that is...
    Resource Type:
    Dissertation