Sökning: "Finite Horizon"

Visar resultat 16 - 20 av 41 avhandlingar innehållade orden Finite Horizon.

  1. 16. On the Snell envelope approach to optimal switching and pricing Bermudan options

    Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. LÄS MER

  3. 17. Topics in the mean-field type approach to pedestrian crowd modeling and conventions

    Författare :Alexander Aurell; Boualem Djehiche; Xiaoming Hu; Roland Malhamé; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; pedestrian crowds; stochastic differential equations; mean field; stochastic control; games; backward dynamics; sticky boundary; stochastic maximum principle; social conventions; folkmassor; stokastiska differentialekvationer; medelfält; stokastisk styrning; limaktiga randvillkor; stokastiska maximumprincipen; dynamik med ändvillkor; spel; konventioner;

    Sammanfattning : This thesis consists of five appended papers, primarily addressingtopics in pedestrian crowd modeling and the formation of conventions.The first paper generalizes a pedestrian crowd model for competingsubcrowds to include nonlocal interactions and an arbitrary (butfinite) number of subcrowds. LÄS MER

  4. 18. Nonlinear Model Predictive Control for Autonomous Vehicles

    Författare :Paolo Falcone; Universita degli Studi del Sannio; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

    Sammanfattning : In this thesis we consider the problem of designing and implementing Model Predictive Controllers (MPC) for stabilizing the dynamics of an autonomous ground vehicle. For such a class of systems, the non-linear dynamics and the fast sampling time limit the real-time implementation of MPC algorithms to local and linear operating regions. LÄS MER

  5. 19. Mathematical Modeling, Optimization and Scheduling of Aircraft's Components Maintenance and of the Maintenance Workshop

    Författare :Gabrijela Obradovic; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Simultaneous Scheduling; Contracting Forms; Mathematical modelling; Maintenance Optimization; Workshop Scheduling; Multi-Objective Optimization; Mixed-Binary Linear Optimization Model;

    Sammanfattning : This research concerns the simultaneous scheduling of preventive maintenance for a fleet of aircraft and their common components along with the maintenance workshop, to which the components are sent for repair. The problem arises from an industrial project with the Swedish aerospace and defence company Saab. LÄS MER

  7. 20. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER