Avancerad sökning

Hittade 4 avhandlingar som matchar ovanstående sökkriterier.

  1. 1. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis

    Författare :Andreas Petersson; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Lévy process; Lyapunov equation; white noise; finite element method; multilevel Monte Carlo; Monte Carlo; multiplicative noise; asymptotic mean square stability; stochastic heat equation; covariance operator; weak convergence; generalized Wiener process; numerical approximation; stochastic wave equation; Stochastic partial differential equations;

    Sammanfattning : Stochastic partial differential equations (SPDE) must be approximated in space and time to allow for the simulation of their solutions. In this thesis fully discrete approximations of such equations are considered, with an emphasis on finite element methods combined with rational semigroup approximations. LÄS MER

  3. 2. Control and Communication with Signal-to-Noise Ratio Constraints

    Författare :Erik Johannesson; Institutionen för reglerteknik; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Real-time coding; SNR; Causal coding; AWN channel; AWGN channel; Remote source; Networked control; Control over channel; Convex optimization; Wiener filter;

    Sammanfattning : This thesis is about two problems in the intersection of communication and control theory. Their common feature is that they involve communication over an additive white noise channel with a signal-to-noise ratio (SNR) constraint. The first problem concerns the transmission of a real-valued signal from a partially observed Markov source. LÄS MER

  4. 3. On Lévy Processes in Mathematical Finance

    Författare :Ulrika Trolle; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : The focus of the first article, On the Modelling of Financial Data with Generalized Hyperbolic Distributions, lies in studying the performance of the generalized hyperbolic distribution (GH), when fitted to historical data. Four different areas were selected. LÄS MER

  5. 4. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

    Författare :Mats Brodén; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

    Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER