Sökning: "local stationarity"

Hittade 5 avhandlingar innehållade orden local stationarity.

1. 1. Contributions to Numerical Solution of Stochastic Differential Equations

   Författare :Anders Muszta; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

   Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER

3. 2. Numerical analysis for random processes and fields and related design problems

   Författare :Konrad Abramowicz; Oleg Seleznjev; Krzysztof Podgórski; Umeå universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

   Sammanfattning : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. LÄS MER

4. 3. Bayesian networks: exact inference and applications in forensic statistics

   Författare :Ivar Simonsson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bayesian networks; variable elimination algorithm; forensic statistics; relationship inference; mutation models; relationship inference;

   Sammanfattning : Exact inference on Bayesian networks has been developed through sophisticated algorithms. One of which, the variable elimination algorithm, identifies smaller components of the network, called factors, on which local operations are performed. In principle this algorithm can be used on any Bayesian network. LÄS MER

5. 4. Fertility, childcare and labour market : dynamics in time and space

   Författare :Elena Kotyrlo; Magnus Wikström; Niklas Hanes; Giovanni Forchini; Anders Stenberg; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; nationalekonomi;

   Sammanfattning : Paper [I] focuses on the effects of time and space dynamics on the description offertility in Sweden. Fertility is an important determinant of long-term populationgrowth and labour market conditions. The influence of time dynamics inpostponing or accelerating childbearing is assessed by considering two differenteffects of earnings. LÄS MER

7. 5. On Real-Time Optimization using Extremum Seeking Control and Economic Model Predictive Control : With Applications to Bioreactors and Paper Machines

   Författare :Olle Trollberg; Elling Jacobsen; Sigurd Skogestad; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Real-Time Optimization; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : Process optimization is used to improve the utility and the economic performance of industrial processes, and is as such central in most automation strategies. In this thesis, two feedback-based methods for online process optimization are considered: Extremum seeking control (ESC), a classic model-free method used for steady-state optimization which dates back to the early 1900's, and economic model predictive control (EMPC), a more recent method which utilizes a model to dynamically optimize the closed-loop process economics in real time. LÄS MER