Sökning: "perturbation expansions"

Visar resultat 1 - 5 av 8 avhandlingar innehållade orden perturbation expansions.

  1. 1. Asymptotic Expansions for Perturbed Discrete Time Renewal Equations

    Författare :Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Henrik Hult; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Quasi-stationary distribution; Risk process; Ruin probability;

    Sammanfattning : In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. LÄS MER

  3. 2. Perturbed discrete time stochastic models

    Författare :Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Nikolaos Limnios; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Risk process; Semi-Markov process; Markov chain; Quasi-stationary distribution; Ruin probability; First hitting time; Solidarity property; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. LÄS MER

  4. 3. Computational Ice Sheet Dynamics : Error control and efficiency

    Författare :Josefin Ahlkrona; Per Lötstedt; Jesse Johnson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; ice sheet modelling; stokes equations; shallow ice approximation; finite element method; perturbation expansions; non-newtonian fluids; free surface flow; Scientific Computing; Beräkningsvetenskap;

    Sammanfattning : Ice sheets, such as the Greenland Ice Sheet or Antarctic Ice Sheet, have a fundamental impact on landscape formation, the global climate system, and on sea level rise. The slow, creeping flow of ice can be represented by a non-linear version of the Stokes equations, which treat ice as a non-Newtonian, viscous fluid. LÄS MER

  5. 4. Analytical Approximation of Contingent Claims

    Författare :Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER

  7. 5. Nonlinearly Perturbed Renewal Equations : asymptotic Results and Applications

    Författare :Ying Ni; Dmitrii Silvestrov; Anatoliy Malyarenko; Mats Gyllenberg; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Nonlinearly perturbed renewal equation; perturbed renewal equation; nonlinear perturbation; non-polynomial perturbation; perturbed risk process; perturbed storage process; Mathematical statistics; Matematisk statistik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : In this thesis we investigate a model of nonlinearly perturbed continuous-time renewal equation. Some characteristics of the renewal equation are assumed to have non-polynomial perturbations, more specifically they can be expanded with respect to a non-polynomial asymptotic scale. LÄS MER