Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Lévy-Prozess"'
Autor:
Strietzel, Philipp Lukas, Behme, Anita
We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed Cramér-Lundbe
Externí odkaz:
https://tud.qucosa.de/id/qucosa%3A90409
https://tud.qucosa.de/api/qucosa%3A90409/attachment/ATT-0/
https://tud.qucosa.de/api/qucosa%3A90409/attachment/ATT-0/
Autor:
Berger, David
This thesis deals with different topics in probability theory. We are interested in infinitely divisible distributions and their densities, the class of quasi-infinitely divisible distributions and Lévy driven stochastic partial differential equatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::96654087901a0b7fbaab51ca5a827096
Autor:
Do Rego Sousa, Thiago
This thesis investigates simulation-based methods to estimate time series processes. We apply Indirect Inference to estimate the parameter of a COGARCH(1,1) process. Then we develop new estimators for general time series observations based on the emp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______518::498a3df43c076e1a407acc49ca6d3a6b
https://mediatum.ub.tum.de/1518760
https://mediatum.ub.tum.de/1518760
Autor:
Schulte, Daniel
In dieser Arbeit führen wir im ersten Teil eine neue Klasse von stochastischen Prozessen ein, die operator-stable-like Prozesse. Diese verhalten sich lokal wie operator-stabile Prozesse, aber lassen räumliche Inhomogenitäten zu. Die operator-stabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______691::443ec15f94b81f55fe7392ffd8780e9b
http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:467-13980
http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:467-13980
Autor:
Roth, Stefan
Given a low frequency sample of an infinitely divisible moving average random field, we study the problem of nonparametric estimation of the Lévy-characteristics of the underlying infinitely divisible integrator random measure.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1b3253432c740f164de074e8094c653
Autor:
Pessik, Andre
Der wesentliche Fokus dieser Arbeit liegt auf der Herleitung von Grenzwertsätzen für die Multipower Variationen Lévy-getriebener Prozesse. Die Lévy-getriebenen Prozesse besitzen unter anderem unendlich teilbare Randverteilungen und eine nach beli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d34d3b0c461290575e6c7cfbb2ab902a
Autor:
Brandes, Dirk-Philip
This thesis covers miscellaneous topics in the field of time series analysis and stochastic processes and consists of four topics where the first two are connected by the appearance of random coefficients and the last two by inference of Lévy driven
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88067b7a1c68a497668f9a74a05481f1
Autor:
Oberacker, Philip
In this thesis we investigate processes which arise from the convolution of a deterministic Volterra-type kernel with a two-sided martingale as an integrator. The class of processes of this kind is of special interest, because it contains for example
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::db7aabb4e89a9cb18be99b5989a3e001
Autor:
Kühn, Franziska
In this thesis, we present a new existence result for Lévy-type processes. Lévy-type processes behave locally like a Lévy process, but the Lévy triplet may depend on the current position of the process. They can be characterized by their so-calle
Externí odkaz:
https://tud.qucosa.de/id/qucosa%3A30006
https://tud.qucosa.de/api/qucosa%3A30006/attachment/ATT-2/
https://tud.qucosa.de/api/qucosa%3A30006/attachment/ATT-2/
Autor:
Kestler, Sebastian
The adaptive tensor product wavelet Galerkin method is a well-known method for solving linear well-posed operator equations on product domains. For a wide class of operators this method can be shown to be of optimal computational complexity and to co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7fb1b53b279bb10d47d6383f89cb6834