Sökning: "stochastic intensity model"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden stochastic intensity model.

  1. 1. A temporal Hawkes process model for shooting occurrences in Sweden

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Sara Kopelman; [2024]
    Nyckelord :Point processes; stochastic processes; statistics; conditional intensity; crime; shootings; Mathematics and Statistics;

    Sammanfattning : The Hawkes process, also referred to as a self-exciting point process, is a class of point processes where the intensity is conditioned on previous events. More specifically, an event occurrence excites the process, temporarily increasing the probability of more events occurring. LÄS MER

  3. 2. Uncertainty quantification for offshore wind turbines

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Ziming Wang; [2022]
    Nyckelord :wind energy; uncertainty propagation; polynomial chaos; Rosenblatt transformation; quadrature; regression; vindenergi; osäkerhetsutbredning; polynomkaos; Rosenblatt transformation; kvadratur; regression;

    Sammanfattning : Wind energy is a field with a large number of uncertainties. The random nature of the weather conditions, including wind speed, wind direction, and turbulence intensity, influences the energy output and the structural safety of a wind farm, making its performance fluctuate and difficult to predict. LÄS MER

  4. 3. The self-exciting Hawkes processand dynamic contagion

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Isak Dahlqvist; [2022]
    Nyckelord :;

    Sammanfattning : We introduce the necessary theory to construct self-exciting processes, particularly random and Poisson measures. Our goal is to show how to work with and analyze self-exciting processes. We consider a Hawkes process with the exponential kernel, a counting process with an intensity that depends on the process itself. LÄS MER

  5. 4. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  7. 5. Stochastic Knock Control for Improved Efficiency

    Master-uppsats, Linköpings universitet/Fordonssystem

    Författare :Jonas Vedin; Robert Widén; [2019]
    Nyckelord :Knock control; Stochastic knock control; Knock simulation;

    Sammanfattning : Increasing the efficiency and performance of internal combustion engines is always of interest in the automotive industry. One limiting factor to achieve this in gasoline combustion engines is the ignition timing which can not always be set where optimal ignition efficiency and performance is obtained. LÄS MER