Mikael Petersson: Perturbed discrete time stochastic models
Time: Thu 2016-06-02 13.00
Location: Room 14, House 5, Kräftriket, Department of Mathematics, Stockholm University
Subject area: Mathematical Statistics
Doctoral student: Mikael Petersson , Mathematics
Opponent: Professor Nikolaos Limnios, Compiegne University of Technology, France
Supervisor: Dmitrii Silvestrov (SU)
Abstract:
In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. In particular, asymptotic expansions are given for solutions of renewal equations, quasi-stationary distributions for semi-Markov processes, and ruin probabilities for risk processes.