Sökning: "stochastic integration"

Visar resultat 1 - 5 av 58 avhandlingar innehållade orden stochastic integration.

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

   Författare :Anders Muszta; Göteborgs universitet; []
   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; volatility induced stationarity;

   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. 2. Optimal bidding of a hydropower producer insequential power markets with riskassessment : Stochastic programming approach

   Författare :Yelena Vardanyan; Mohammad Reza Hesamzadeh; Javier Contreras; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : Short-term hydropower planning and bidding under uncertainty is a complicated task. The problem became more challenging with the liberalized market environment within the last two decades. LÄS MER

4. 3. Barycentric Markov processes and stability of stochastic integrators

   Författare :Philip Kennerberg; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; geometric probability; dirichlet processes; Markov processes; stochastic integration; interacting particle systems;

   Sammanfattning : This thesis consists of four papers that broadly concerns two dierent topics. The rsttopic is so-called barycentric Markov processes. By a barycentric Markov process wemean a process that consists of a point/particle system evolving in (discrete) time,whose evolution depends in some way on the mean value of the current points in thesystem. LÄS MER

5. 4. Optimization of process integration investments under energy market uncertainties

   Författare :Elin Svensson; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; stochastic programming; scenario-based modelling; investment planning; process integration;

   Sammanfattning : The increased climate concern in society puts pressure on industries to decrease their energy use in different ways, and a number of studies show that there is a large potential for improved energy efficiency in the energy-intensive industry, for example through process integration. Uncertainties about future energy prices and policy instruments make it, however, difficult to evaluate and compare different kinds of energy-saving measures with respect to net present value as well as reduction of CO2 emissions. LÄS MER

7. 5. Structural Reliability and Identification with Stochastic Simulation - Application to Railway Mechanics

   Författare :Sadegh Rahrovani; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; model reduction; time-integration; finite element model; sleeper-ballast load characterization; stochastic simulation; Bayesian system identification;

   Sammanfattning : System identification of structures based on measured response data can play a key role in improving reliability based structural designs. However, the experimental limitations of in situ tests and uncertainties of required model complexity together with the inverse nature of system identification give rise to a number of challenging issues. LÄS MER