Search for dissertations about: "Stochastic differential equations"
Showing result 1 - 5 of 88 swedish dissertations containing the words Stochastic differential equations.
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1. Exponential integrators for stochastic partial differential equations
Abstract : Stochastic partial differential equations (SPDEs) have during the past decades become an important tool for modeling systems which are influenced by randomness. Because of the complex nature of SPDEs, knowledge of efficient numerical methods with good convergence and geometric properties is of considerable importance. READ MORE
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2. Convergence rates of adaptive algorithms for deterministic and stochastic differential equations
Abstract : .... READ MORE
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3. Contributions to Numerical Solution of Stochastic Differential Equations
Abstract : 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. READ MORE
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4. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations
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
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5. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis
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