KTH Mathematics

Licentiate dissertations Ali Hamdi: On the Snell envelope approach to optimal switching and pricing Bermudan options (October 20 2011). Fredrik Armerin: On Cash Flow Valuation. (November 18 2002). Per Hallberg: On Phase Transition and Percolation in the Beach Model. (January 13 2003). Thesis in Postscript format. Thesis in PDF format. Henrik Hult: Approximating some Volterra type Stochastic Integrals with Applications to Parameter Estimation. (May 14 2001). Thesis in Postscript format. Thesis in PDF format. Anna Carlsund: Cover times and hitting times for certain random walks and birth-and-death processes. (September 26 2000). Cover times of a simple random walk with exponential holding times. First passage times for random walks and birth-and-death processes with sign depending transition probabilities. Johan Irbäck: Asymptotic theory for a risk process with a high dividend barrier. (September 13 2000). Asymptotic theory for a risk process with a high dividend barrier. Andreas Lindell: Numerical investigations of the distributions of the longest excursions in tied down simple Random Walks and Brownian Bridges. (May 29 2000). Numerical investigations of the distributions of the longest excursions in tied down simple Random Walks and Brownian Bridges. Doctoral dissertations Fredrik Armerin: "Aspects of Cash Flow Valuation." (December 10 2004) Per Hallberg: "Gibbs Measures and Phase Transitions in Potts and Beach Models." (September 24 2004) Anna Carlsund: "Cover Times, Sign-dependent Random walks, and Maxima." (October 31 2003) Henrik Hult: "Topics on fractional Brownian motion and regular variation for stochastic processes." (October 3 2003) Torkel Erhardsson: "Compound Poisson approximation for Markov chains." (December 5 1997) Josefin Bodell: "Cost of Searching - Probabilistic Analysis of the Self-Organizing Move-to-Front and Move-to-Root Sorting Rules." (May 30 1997) "Cost of Searching - Probabilistic Analysis of the Self-Organizing Move-to-Front and Move-to-Root Sorting Rules." Mikael Raab: "On the Number of Exceedances in Gaussian and Related Sequences." (January 24 1997). Postscript-format dvi-format Björn Johansson (1989) Esbjörn Ohlsson (1987) Lennart Nordberg (1981) Gunnar Andersson (1981) Gunnar Englund (1981) Peter Högfeldt (1980) Bo Justusson (1980) Thomas Höglund (1978) Sven Erik Tidblom (1977) Jan Hagberg (1972) Books G. Blom, Jan Enger, Gunnar Englund, Jan Grandell and Lars Holst: Sannolikhetsteori och statistikteori med tillämpningar. Studentlitteratur 2005. Jan Grandell: Mixed Poisson Processes, Monographs on Statistics & Applied Probability Vol. 77, Chapman & Hall, (1997). Aspects of Risk Theory, Springer-Verlag (1991). Stochastic Models of Air Pollutant Concentration Lecture Notes in Statistics, 30. Springer-Verlag, Berlin-New York, (1985). Doubly stochastic Poisson processes Lecture Notes in Mathematics, Vol. 529. Springer-Verlag, Berlin-New York, (1976). Lars Holst : Poisson Approximation. Oxford University Press, Oxford (1992). With A. D. Barbour and S. Janson. Problems and Snapshots from the World of Probability. Springer-Verlag, New York (1994) (japanese edition 1995). With G. Blom and D. Sandell. To Mathematical Statistics

Sidansvarig: Filip Lindskog Uppdaterad: 14/6-2005