Sökning: "stochastic differential equations"

Visar resultat 6 - 10 av 88 avhandlingar innehållade orden stochastic differential equations.

  1. 6. Numerical analysis and simulation of stochastic partial differential equations with white noise dispersion

    Författare :André Berg; David Cohen; Per Åhag; Guillaume Dujardin; Ludovic Goudenège; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stochastic partial differential equation; mathematics; numerical analysis; numerical scheme; time integrator; convergence analysis; blowup; critical exponent; nonlinear Schrödinger equation; Manakov equation; Benjamin-Bona-Mahony equation; BBM equation; stochastic; random; dispersion; white noise dispersion; finite difference; pseudospectral; code; matlab; exponential integrator; splitting integrator; convergence in probability; Mathematics; matematik; Numerical Analysis; numerisk analys;

    Sammanfattning : This doctoral thesis provides a comprehensive numerical analysis and exploration of several stochastic partial differential equations (SPDEs). More specifically, this thesis investigates time integrators for SPDEs with white noise dispersion. LÄS MER

  3. 7. Optimal Switching Problems and Related Equations

    Författare :Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
    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

  4. 8. 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

  5. 9. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

    Författare :Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

    Sammanfattning : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. LÄS MER

  7. 10. Variational Methods for Moments of Solutions to Stochastic Differential Equations

    Författare :Kristin Kirchner; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Additive and multiplicative noise; Stochastic partial differential equation; Projective and injective tensor product space; Hilbert tensor product space; Space-time variational problem; Petrov-Galerkin discretization; Stochastic ordinary differential equation;

    Sammanfattning : Numerical methods for stochastic differential equations typically estimate moments of the solution from sampled paths. Instead, we pursue the approach proposed by A. Lang, S. Larsson, and Ch. LÄS MER