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dc.contributor.authorVeillette, Mark S.en_US
dc.date.accessioned2019-09-26T15:39:54Z
dc.date.issued2011
dc.date.submitted2011
dc.identifier.otherb36593096
dc.identifier.urihttps://hdl.handle.net/2144/38109
dc.descriptionThesis (Ph.D.)--Boston Universityen_US
dc.descriptionPLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you.en_US
dc.description.abstractIn this thesis, we study distribution functions and distributional-related quantities for various stochastic processes and probability distributions, including Gaussian processes, inverse Levy subordinators, Poisson stochastic integrals, non-negative infinitely divisible distributions and the Rosenblatt distribution. We obtain analytical results for each case, and in instances where no closed form exists for the distribution, we provide numerical solutions. We mainly use two methods to analyze such distributions. In some cases, we characterize distribution functions by viewing them as solutions to differential equations. These are used to obtain moments and distributions functions of the underlying random variables. In other cases, we obtain results using inversion of Laplace or Fourier transforms. These methods include the Post-Widder inversion formula for Laplace transforms, and Edgeworth approximations. In Chapter 1, we consider differential equations related to Gaussian processes. It is well known that the heat equation together with appropriate initial conditions characterize the marginal distribution of Brownian motion. We generalize this connection to finite dimensional distributions of arbitrary Gaussian processes. In Chapter 2, we study the inverses of Levy subordinators. These processes are non-Markovian and their finite-dimensional distributions are not known in closed form. We derive a differential equation related to these processes and use it to find an expression for joint moments. We compute numerically these joint moments in Chapter 3 and include several examples. Chapter 4 considers Poisson stochastic integrals. We show that the distribution function of these random variables satisfies a Kolmogorov-Feller equation, and we describe the regularity of solutions and numerically solve this equation. Chapter 5 presents a technique for computing the density function or distribution function of any non-negative infinitely divisible distribution based on the Post-Widder method. In Chapter 6, we consider a distribution given by an infinite sum of weighted gamma distributions. We derive the Levy-Khintchine representation and show when the tail of this sum is asymptotically normal. We derive a Berry-Essen bound and Edgeworth expansions for its distribution function. Finally, in Chapter 7 we look at the Rosenblatt distribution, which can be expressed as a infinite sum of weighted chi-squared distributions. We apply the expansions in Chapter 6 to compute its distribution function.en_US
dc.language.isoen_US
dc.publisherBoston Universityen_US
dc.subjectGaussian processesen_US
dc.subjectLévy processesen_US
dc.titleStudy of Gaussian processes, Lévy processes and infinitely divisible distributionsen_US
dc.typeThesis/Dissertationen_US
dc.description.embargo2031-01-01
etd.degree.nameDoctor of Philosophyen_US
etd.degree.leveldoctoralen_US
etd.degree.disciplineMathematicsen_US
etd.degree.grantorBoston Universityen_US
dc.identifier.barcode11719026833568
dc.identifier.mmsid99193903530001161


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