Search for dissertations about: "Stochastic approximation"

Showing result 1 - 5 of 96 swedish dissertations containing the words Stochastic approximation.

  1. 1. Generalized Pólya Urns via Stochastic Approximation

    University dissertation from Uppsala : Department of Mathematics, Uppsala University

    Author : Henrik Renlund; Uppsala universitet.; [2009]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; stochastic approximation; unstable equilibrium; stable equilibrium; touchpoint; generalized pólya urns; MATHEMATICS; MATEMATIK; Mathematics; Matematik;

    Abstract : .... READ MORE

  2. 2. Analytical Approximation of Contingent Claims

    University dissertation from Department of Economics, Lund Universtiy

    Author : Karl Larsson; Lunds universitet.; Lund University.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE

  3. 3. Infinite-state Stochastic and Parameterized Systems

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Noomene Ben Henda; Uppsala universitet.; Uppsala universitet.; [2008]
    Keywords : program verification; model checking; stochastic games; infinite-state systems; Markov chains; reachability; repeated reachability; parameterized systems; approximation; safety; tree systems;

    Abstract : A major current challenge consists in extending formal methods in order to handle infinite-state systems. Infiniteness stems from the fact that the system operates on unbounded data structure such as stacks, queues, clocks, integers; as well as parameterization. READ MORE

  4. 4. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    University dissertation from Stockholm : KTH

    Author : Raul Tempone Olariaga; KTH.; [2002]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; MATHEMATICS Applied mathematics Numerical analysis; MATEMATIK Tillämpad matematik Numerisk analys;

    Abstract : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. READ MORE

  5. 5. Finite element approximation of the deterministic and the stochastic Cahn-Hilliard equation

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Ali Mesforush; Göteborgs universitet.; Gothenburg University.; [2010]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; finite element; a priori error estimate; stochastic integral; mild solution; dual weighted residuals; a posteriori error estimate; additive noise; Wiener process; Cahn-Hilliard equation; existence; regularity; Lya- punov functional; stochastic convolution;

    Abstract : This thesis consists of three papers on numerical approximation of the Cahn-Hilliard equation. The main part of the work is concerned with the Cahn-Hilliard equation perturbed by noise, also known as the Cahn-Hilliard-Cook equation. READ MORE