Sökning: "stochastic approximation algorithm"

Visar resultat 1 - 5 av 37 avhandlingar innehållade orden stochastic approximation algorithm.

  1. 1. 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

  3. 2. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

    Författare :Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

    Sammanfattning : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. LÄS MER

  4. 3. Numerical analysis for random processes and fields and related design problems

    Författare :Konrad Abramowicz; Oleg Seleznjev; Krzysztof Podgórski; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. LÄS MER

  5. 4. Inference techniques for stochastic nonlinear system identification with application to the Wiener-Hammerstein models

    Författare :Giuseppe Giordano; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; nonlinear systems; system identification; stochastic; Maximum Likelihood; Wiener-Hammerstein; Monte Carlo; Newton s method;

    Sammanfattning : Stochastic nonlinear systems are a specific class of nonlinear systems where unknown disturbances affect the system's output through a nonlinear transformation. In general, the identification of parametric models for this kind of systems can be very challenging. LÄS MER

  7. 5. Semi-Markov Models for Insurance and Option Rewards

    Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER