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Filtering by: Language English [eng] Subject Brownian motion processes

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
Skew Brownian motion and branching processes applied to diffusion-advection in heterogenous media and fluid flow

Creator:

Ramirez, Jorge M.

Abstract:

This thesis contains three manuscripts addressing the application of stochastic processes to the analysis and solution of partial differential equations (PDEs) in mathematical physics. In the first manuscript, one dimensional diffusion and Burgers equation are considered. The Fourier transform of the solution to each PDE is represented as the expected...

Resource Type:

Dissertation