Search for dissertations about: "Functional Stochastic Differential Equations"

Showing result 1 - 5 of 6 swedish dissertations containing the words Functional Stochastic Differential Equations.

  2. 1. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis

    Author : Andreas Petersson; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Lévy process; Lyapunov equation; white noise; finite element method; multilevel Monte Carlo; Monte Carlo; multiplicative noise; asymptotic mean square stability; stochastic heat equation; covariance operator; weak convergence; generalized Wiener process; numerical approximation; stochastic wave equation; Stochastic partial differential equations;

    Abstract : Stochastic partial differential equations (SPDE) must be approximated in space and time to allow for the simulation of their solutions. In this thesis fully discrete approximations of such equations are considered, with an emphasis on finite element methods combined with rational semigroup approximations. READ MORE

  4. 2. Adaptivity for Stochastic and Partial Differential Equations with Applications to Phase Transformations

    Author : Erik von Schwerin; Anders Szepessy; Desmond Higham; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Numerical analysis; Numerisk analys;

    Abstract : his work is concentrated on efforts to efficiently compute properties of systems, modelled by differential equations, involving multiple scales. Goal oriented adaptivity is the common approach to all the treated problems. READ MORE

  5. 3. Contributions to the Stochastic Maximum Principle

    Author : Daniel Andersson; Boualem Djehiche; Fred Espen Benth; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Abstract : This thesis consists of four papers treating the maximum principle for stochastic control problems. In the first paper we study the optimal control of a class of stochastic differential equations (SDEs) of mean-field type, where the coefficients are allowed to depend on the law of the process. READ MORE

  6. 4. Computational Aspects of Lévy-Driven SPDE Approximations

    Author : Andreas Petersson; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; multilevel Monte Carlo; numerical approximation of stochastic differential equations; multiplicative noise; Lévy processes; finite element method; variance redons; Monte Carlo; weak convergence; Lévy processes;

    Abstract : In order to simulate solutions to stochastic partial differential equations (SPDE) they must be approximated in space and time. In this thesis such fully discrete approximations are considered, with an emphasis on finite element methods combined with rational semigroup approximations. There are several notions of the error resulting from this. READ MORE

  7. 5. Remarks on the quality of GPS precise point positioning using phase observations

    Author : Masoud Shirazian; Lars E. Sjöberg; Martin Lidberg; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; GPS; PPP; Phase;

    Abstract : GPS processing, like every processing method for geodetic applications, relies upon least-squares estimation. Quality measures must be defined to assure that the estimates are close to reality. READ MORE