Sökning: "Stochastic ordinary differential equation"

Visar resultat 1 - 5 av 9 avhandlingar innehållade orden Stochastic ordinary differential equation.

  1. 1. Variational Methods for Moments of Solutions to Stochastic Differential Equations

    Författare :Kristin Kirchner; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Additive and multiplicative noise; Stochastic partial differential equation; Projective and injective tensor product space; Hilbert tensor product space; Space-time variational problem; Petrov-Galerkin discretization; Stochastic ordinary differential equation;

    Sammanfattning : Numerical methods for stochastic differential equations typically estimate moments of the solution from sampled paths. Instead, we pursue the approach proposed by A. Lang, S. Larsson, and Ch. 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. Stochastic Simulation of Reaction-Diffusion Processes

    Författare :Stefan Hellander; Per Lötstedt; Johan Elf; Koichi Takahashi; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; stochastic simulation; microscale; mesoscale; Smoluchowski s equation; hybrid methods; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : Numerical simulation methods have become an important tool in the study of chemical reaction networks in living cells. Many systems can, with high accuracy, be modeled by deterministic ordinary differential equations, but other systems require a more detailed level of modeling. 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

  7. 5. Contributions to nonlinear mixed-effects modeling

    Författare :Jacob Leander; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; nonlinear mixed-effects models; stochastic differential equations; parameter estimation; extended Kalman filter; sensitivity equations; stochastic differential equations;

    Sammanfattning : The topic of this thesis is nonlinear mixed-effects models. A nonlinear mixed-effects model is a hierarchical regression model used to analyze measurements from several individuals simultaneously, which allows sharing of information between similar individuals. LÄS MER