Sökning: "Stochastic integral"

Visar resultat 6 - 10 av 34 avhandlingar innehållade orden Stochastic integral.

  1. 6. A Cubature Method for Solving Stochastic Equations : A Modern Monte-Carlo Approach with Applications to Financial Market

    Författare :Hossein Nohrouzian; Anatoliy Malyarenko; Ying Ni; Christopher Engström; Viktor Abramov; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Before the financial crisis started in 2007, there were no significant spreads between the forward rate curves constructed either using the market quotes of overnight indexed swaps or those of forward rate agreements. After the crisis, we observe such spreads in the form of forward spread curves. LÄS MER

  3. 7. Numerical Approximation of Solutions to Stochastic Partial Differential Equations and Their Moments

    Författare :Kristin Kirchner; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Petrov– Galerkin discretizations; Strong and weak convergence; Fractional operators; Finite element methods; Space-time variational problems; Tensor product spaces; Stochastic partial differential equations; White noise; Petrov– Galerkin discretizations;

    Sammanfattning : The first part of this thesis focusses on the numerical approximation of the first two moments of solutions to parabolic stochastic partial differential equations (SPDEs) with additive or multiplicative noise. More precisely, in Paper I an earlier result (A. Lang, S. Larsson, and Ch. LÄS MER

  4. 8. Theory of water-proton spin relaxation in complex biological systems

    Författare :Zhiwei Chang; Biofysikalisk kemi; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; spin relaxation theory; immobilized macromolecules; magnetic relaxation dispersion; integral longitudinal relaxation rate; stochastic Liouville equations; multi-spin systems; cross-mode relaxation; spectral density functions;

    Sammanfattning : In complex biological systems (e.g. gels, cross-linked proteins and biological tissues), the longitudinal spin relaxation of water protons is primarily induced by exchange-mediated orientational randomization (EMOR) of intra- and intermolecular magnetic dipole-dipole couplings. LÄS MER

  5. 9. 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

  7. 10. Path integral control endowed robot planning under spatiotemporal logic specifications

    Författare :Péter Várnai; Dimos Dimarogonas; Theodorou Evangelos; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

    Sammanfattning : The increasing level of autonomy and intelligence of robotic systems in carrying out complex tasks can be expected to revolutionize both the industry and our everyday lives. This thesis takes a step towards automation by leveraging the power of path integral control (PIC) methods for solving control problems under such task satisfaction constraints in both a stochastic control and a reinforcement learning setting. LÄS MER