Sökning: "stochastic models"

Visar resultat 6 - 10 av 492 avhandlingar innehållade orden stochastic models.

  1. 6. Market Models with Stochastic Volatility

    Författare :Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER

  3. 7. Linear Models of Nonlinear Systems

    Författare :Martin Enqvist; Lennart Ljung; Rik Pintelon; Linköpings universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; linear models; nonlinear systems; system identification; stochastic processes; linearization; mean-square error; Automatic control; Reglerteknik;

    Sammanfattning : Linear time-invariant approximations of nonlinear systems are used in many applications and can be obtained in several ways. For example, using system identification and the prediction-error method, it is always possible to estimate a linear model without considering the fact that the input and output measurements in many cases come from a nonlinear system. LÄS MER

  4. 8. Stochastic Reactor Models for Engine Simulations

    Författare :Martin Tunér; Förbränningsmotorer; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SRM; Stochastic Reactor Model; Engine Simulation; Chemical kinetics; HCCI; Direct injection; Combustion; NVO; Modeling; PDF;

    Sammanfattning : The aim of the thesis work is the further development of practical engine simulation tools based on Stochastic Reactor Models, SRMs. Novel and efficient implementations were made of a variety of SRMs adapted to different engine types. The models in question are the HCCI-SRM, the TwoZone SI-SRM and the DI-SRM. LÄS MER

  5. 9. Epidemics with heterogeneous mixing : stochastic models and statistical tests

    Författare :Tom Britton; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER

  7. 10. Essays on financial time series models : Stochastic volatility and long memory

    Författare :Jonas Andersson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). LÄS MER