Search for dissertations about: "Stochastic analysis"

Showing result 1 - 5 of 428 swedish dissertations containing the words Stochastic analysis.

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

    Author : André Berg; David Cohen; Per Åhag; Guillaume Dujardin; Ludovic Goudenège; Umeå universitet; []
    Keywords : 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;

    Abstract : 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. READ MORE

  4. 2. 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

  5. 3. Linear and Non-linear Deformations of Stochastic Processes

    Author : Gustaf Strandell; Maciej Klimek; Richard Aron; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Riesz bases and frames; Weakly stationary stochastic processes; Set-valued analysis; Matematisk analys; Mathematical analysis; Analys;

    Abstract : This thesis consists of three papers on the following topics in functional analysis and probability theory: Riesz bases and frames, weakly stationary stochastic processes and analysis of set-valued stochastic processes. In the first paper we investigate Uniformly Bounded Linearly Stationary stochastic processes from the point of view of the theory of Riesz bases. READ MORE

  6. 4. Optimal Switching Problems and Related Equations

    Author : Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

    Abstract : 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. READ MORE

  7. 5. Methods for Stochastic Optimal Control under State Constraints

    Author : Per Rutquist; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; control theory; optimal control; stochastic systems; Hamilton-Jacobi-Bellmanequation; Fokker-Planck-Kolmogorov equation;

    Abstract : This thesis looks at a few different approaches to solving stochas-tic optimal control problems with state constraints. The motivatingproblem is optimal control of an energy buffer in a hybrid vehicle,although applications are abundant in a number of areas. READ MORE