Sökning: "Second order Itô equation"

Hittade 4 avhandlingar innehållade orden Second order Itô equation.

1. 1. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

   Författare :Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

   Sammanfattning : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. LÄS MER

3. 2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

   Författare :Raul Tempone Olariaga; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

   Sammanfattning : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. LÄS MER

4. 3. Functionalization of polymer electrolytes for electrochromic windows

   Författare :İlknur Bayrak Pehlivan; Gunnar A. Niklasson; Claes-Göran Granqvist; Michel Aegerter; Uppsala universitet; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrochromism; Polymer electrolytes; PEI; LiTFSI; Nanoparticles; Ionic conductivity; Ion-pair relaxation; Near-infrared absorption; Engineering Science with specialization in Solid State Physics; Teknisk fysik med inriktning mot fasta tillståndets fysik;

   Sammanfattning : Saving energy in buildings is of great importance because about 30 to 40 % of the energy in the world is used in buildings. An electrochromic window (ECW), which makes it possible to regulate the inflow of visible light and solar energy into buildings, is a promising technology providing a reduction in energy consumption in buildings along with indoor comfort. LÄS MER

5. 4. Adaptivity for Stochastic and Partial Differential Equations with Applications to Phase Transformations

   Författare :Erik von Schwerin; Anders Szepessy; Desmond Higham; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Numerical analysis; Numerisk analys;

   Sammanfattning : his work is concentrated on efforts to efficiently compute properties of systems, modelled by differential equations, involving multiple scales. Goal oriented adaptivity is the common approach to all the treated problems. LÄS MER