Sökning: "stochastic differential equations"

Visar resultat 1 - 5 av 69 avhandlingar innehållade orden stochastic differential equations.

  1. 1. Convergence rates of adaptive algorithms for deterministic and stochastic differential equations

    Detta är en avhandling från Stockholm : Numerisk analys och datalogi

    Författare :Kyoung-Sook Moon; KTH.; [2001]
    Nyckelord :adaptive mesh refinement algorithm; computational complexity; a posteriori error estimate; ordinary differential equations; stochastic differential equations;

    Sammanfattning : .... LÄS MER

  2. 2. Contributions to Numerical Solution of Stochastic Differential Equations

    Detta är en avhandling från Göteborg : Chalmers University of Technology

    Författare :Anders Muszta; Göteborgs universitet.; Gothenburg University.; [2005]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation;

    Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER

  3. 3. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Detta är en avhandling från Stockholm : KTH

    Författare :Raul Tempone Olariaga; KTH.; [2002]
    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; MATHEMATICS Applied mathematics Numerical analysis; MATEMATIK Tillämpad matematik 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. 4. Optimal Switching Problems and Related Equations

    Detta är en avhandling från Uppsala : Department of Mathematics

    Författare :Marcus Olofsson; Uppsala universitet.; [2015]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

    Sammanfattning : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. LÄS MER

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

    Detta är en avhandling från Umeå : Umeå universitet

    Författare :Thomas Önskog; Umeå universitet.; [2009]
    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