Sökning: "Henrik Hult"

Visar resultat 6 - 10 av 20 avhandlingar innehållade orden Henrik Hult.

  1. 6. Asymptotics, weak convergence and duality in population genetics

    Författare :Martina Favero; Henrik Hult; Alison Etheridge; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of four papers on asymptotic results and stochastic duality for some processes in mathematical population genetics. The focus is on Wright-Fisher diffusions and coalescent processes, which model, respectively, the evolution of frequencies of genetic types and genealogies in a population,and play a key role in inference on genetic data sets. LÄS MER

  3. 7. Markov chain Monte Carlo for rare-event simulation in heavy-tailed settings

    Författare :Thorbjörn Gudmundsson; Henrik Hult; Ola Hössjer; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER

  4. 8. Rare-event simulation with Markov chain Monte Carlo

    Författare :Thorbjörn Gudmundsson; Henrik Hult; Ad Ridder; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. LÄS MER

  5. 9. 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

  7. 10. Some aspects of optimal switching and pricing Bermudan options

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

    Sammanfattning : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. LÄS MER