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**Harvard**

Sundén, M. (2008) *Some Markov Processes in Finance and Kinetics*. Göteborg : Chalmers University of Technology (Doktorsavhandlingar vid Chalmers tekniska högskola. Ny serie, nr: 2815).

** BibTeX **

@book{

Sundén2008,

author={Sundén, Mattias},

title={Some Markov Processes in Finance and Kinetics},

isbn={978-91-7385-134-3},

abstract={This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel.
</p>
The L\'evy process papers relate the distribution of the supremum of a L\'evy process over a compact time interval to the distribution of the process value at the right endpoint of this interval. L\'evy processes are sorted into different classes depending on the tails of their univariate marginal distributions. In the first paper we treat processes with heavier tails, while processes with lighter tails are handled in the second paper. Our results are applicable to many processes recently introduced in mathematical finance. For instance, they may be used to approximate the distribution of the maximum of a stock price over a finite time span.
</p>
The papers on the Kac model mainly deal with an approximation of the Kac model with unbounded collsion kernel where small jumps are replaced by a Brownian motion. In the first and more theoretical of these papers we prove convergence of the approximating processes to the process with unbounded collision kernel. We also give results on the spectral gap of the Kac model with unbounded collision kernel. In the second paper on the Kac model we present numerical results which show that our approximation scheme gives a considerable improvement of the standard approximation which uses only a truncated collision kernel and that this improvement is more obvious as the collsion kernel gets more singular. Our numerical investigations are carried out for the Kac model with Gaussian thermostat as well as for a more physically relevant three-dimensional model.},

publisher={Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,},

place={Göteborg},

year={2008},

series={Doktorsavhandlingar vid Chalmers tekniska högskola. Ny serie, no: 2815},

keywords={CGMY process, Collision kernel, Direct simulation Monte Carlo, Diffusion approximation, Extreme value theory, Feller process, Generalized hyperbolic process, Generalized $z$-process, Infinitesimal generator, Laplace-Beltrami operator, L\'evy Processes, Long-tailed distribution, Kac equation, Kac model, Markov process, Semigroup, Semi-heavy tailed distirbution, Spectral gap, Subexponential distibrution, Superexponential distribution, Tauberian theorem, Thermostat.},

note={120},

}

** RefWorks **

RT Dissertation/Thesis

SR Electronic

ID 71990

A1 Sundén, Mattias

T1 Some Markov Processes in Finance and Kinetics

T2 Markov Processes

YR 2008

SN 978-91-7385-134-3

AB This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel.
</p>
The L\'evy process papers relate the distribution of the supremum of a L\'evy process over a compact time interval to the distribution of the process value at the right endpoint of this interval. L\'evy processes are sorted into different classes depending on the tails of their univariate marginal distributions. In the first paper we treat processes with heavier tails, while processes with lighter tails are handled in the second paper. Our results are applicable to many processes recently introduced in mathematical finance. For instance, they may be used to approximate the distribution of the maximum of a stock price over a finite time span.
</p>
The papers on the Kac model mainly deal with an approximation of the Kac model with unbounded collsion kernel where small jumps are replaced by a Brownian motion. In the first and more theoretical of these papers we prove convergence of the approximating processes to the process with unbounded collision kernel. We also give results on the spectral gap of the Kac model with unbounded collision kernel. In the second paper on the Kac model we present numerical results which show that our approximation scheme gives a considerable improvement of the standard approximation which uses only a truncated collision kernel and that this improvement is more obvious as the collsion kernel gets more singular. Our numerical investigations are carried out for the Kac model with Gaussian thermostat as well as for a more physically relevant three-dimensional model.

PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,

T3 Doktorsavhandlingar vid Chalmers tekniska högskola. Ny serie, no: 2815

LA eng

LK http://www.math.chalmers.se/Stat/Research/Preprints/Doctoral/2008/3.pdf

OL 30