Sökning: "Stochastic integral"

Visar resultat 11 - 15 av 34 avhandlingar innehållade orden Stochastic integral.

  1. 11. Non-Uniform Sampling in Statistical Signal Processing

    Författare :Frida Eng; Fredrik Gustafsson; Paulo Ferreira; Linköpings universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; signal processing; sampling; stochastic analysis; frequency transform; Automatic control; Reglerteknik;

    Sammanfattning : Non-uniform sampling comes natural in many applications, due to for example imperfect sensors, mismatched clocks or event-triggered phenomena. Examples can be found in automotive industry and data communication as well as medicine and astronomy. LÄS MER

  3. 12. Optimal Sequential Decisions in Hidden-State Models

    Författare :Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

    Sammanfattning : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. LÄS MER

  4. 13. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER

  5. 14. Some problems of modeling and parameter estimation in continous-time for control and communication

    Författare :Yasir Irshad; Magnus Mossberg; Magnus Jansson; Karlstads universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Continuous-time modeling; identification; estimation; closed-loop systems; networked control systems; wireless communication; stochastic differential equations; Physics; Fysik;

    Sammanfattning : Stochastic system identification is of great interest in the areas of control and communication. In stochastic system identification, a model of a dynamic system is determined based on given inputs and received outputs from the system, where stochastic uncertainties are also involved. LÄS MER

  7. 15. Distributed control of electric drives via Ehernet

    Författare :Lilantha Samaranayake; KTH; []
    Nyckelord :Brushless DC Motor; Control Delay; Distributed Motion Control Systems; Proportional Integral Controller;

    Sammanfattning : This report presents the work carried out aiming towardsdistributed control of electric drives through a networkcommunication medium with temporal constraints, i.e, Ethernet.A general analysis on time delayed systems is carried out,using state space representation of systems in the discretetime domain. LÄS MER