Sökning: "stochastic differential equations"

Visar resultat 11 - 15 av 88 avhandlingar innehållade orden stochastic differential equations.

  1. 11. Weak approximation of ItÔ stochastic differential equations and related adaptive algorithms

    Författare :Raúl Tempone Olariaga; KTH; []
    Nyckelord :Adaptive methods; A posteriori error estimates; Stochastic differential equations; Monte Carlo methods; HJM model; Option price; Bond market; TECHNOLOGY; TEKNIKVETENSKAP;

    Sammanfattning : .... LÄS MER

  3. 12. On weak convergence, Malliavin calculus and Kolmogorov equations in infinite dimensions

    Författare :Adam Andersson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic evolution equations; stochastic Volterra equations; weak approximation; Kolmogorov equations in infinite dimensions; Malliavin calculus; finite element method; backward Euler method; Kolmogorov equations in infinite dimensions;

    Sammanfattning : This thesis is focused around weak convergence analysis of approximations of stochastic evolution equations in Hilbert space. This is a class of problems, which is sufficiently challenging to motivate new theoretical developments in stochastic analysis. LÄS MER

  4. 13. Numerical Approximation of Solutions to Stochastic Partial Differential Equations and Their Moments

    Författare :Kristin Kirchner; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Petrov– Galerkin discretizations; Strong and weak convergence; Fractional operators; Finite element methods; Space-time variational problems; Tensor product spaces; Stochastic partial differential equations; White noise; Petrov– Galerkin discretizations;

    Sammanfattning : The first part of this thesis focusses on the numerical approximation of the first two moments of solutions to parabolic stochastic partial differential equations (SPDEs) with additive or multiplicative noise. More precisely, in Paper I an earlier result (A. Lang, S. Larsson, and Ch. LÄS MER

  5. 14. Adaptive Algorithms for Deterministic and Stochastic Differential Equations

    Författare :Kyoung-Sook Moon; KTH; []
    Nyckelord :adaptive mesh refinement algorithm; a posteriori error estimate;

    Sammanfattning : .... LÄS MER

  7. 15. Topics in the mean-field type approach to pedestrian crowd modeling and conventions

    Författare :Alexander Aurell; Boualem Djehiche; Xiaoming Hu; Roland Malhamé; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; pedestrian crowds; stochastic differential equations; mean field; stochastic control; games; backward dynamics; sticky boundary; stochastic maximum principle; social conventions; folkmassor; stokastiska differentialekvationer; medelfält; stokastisk styrning; limaktiga randvillkor; stokastiska maximumprincipen; dynamik med ändvillkor; spel; konventioner;

    Sammanfattning : This thesis consists of five appended papers, primarily addressingtopics in pedestrian crowd modeling and the formation of conventions.The first paper generalizes a pedestrian crowd model for competingsubcrowds to include nonlocal interactions and an arbitrary (butfinite) number of subcrowds. LÄS MER