Search for dissertations about: "Stochastic partial differential equation"

Showing result 21 - 25 of 32 swedish dissertations containing the words Stochastic partial differential equation.

  2. 21. On weak convergence, Malliavin calculus and Kolmogorov equations in infinite dimensions

    Author : Adam Andersson; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic evolution equations; stochastic Volterra equations; weak approximation; Kolmogorov equations in infinite dimensions; Malliavin calculus; finite element method; backward Euler method; Kolmogorov equations in infinite dimensions;

    Abstract : This thesis is focused around weak convergence analysis of approximations of stochastic evolution equations in Hilbert space. This is a class of problems, which is sufficiently challenging to motivate new theoretical developments in stochastic analysis. READ MORE

  4. 22. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Author : Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE

  5. 23. Error Analysis and Smoothing Properties of Discretized Deterministic and Stochastic Parabolic Problems

    Author : Yubin Yan; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : In this thesis we consider smoothing properties and approximation of time derivatives for parabolic equations and error estimates for stochastic parabolic partial differential equations approximated by the finite element method. In the first two papers, we study smoothing properties and approximation of the time derivative in time discretization schemes with constant and variable time steps for an abstract homogeneous linear parabolic problem. READ MORE

  6. 24. Uncertainty Quantification and Numerical Methods for Conservation Laws

    Author : Per Pettersson; Jan Nordström; Gianluca Iaccarino; Gunilla Kreiss; Rémi Abgrall; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; uncertainty quantification; polynomial chaos; stochastic Galerkin methods; conservation laws; hyperbolic problems; finite difference methods; finite volume methods; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Abstract : Conservation laws with uncertain initial and boundary conditions are approximated using a generalized polynomial chaos expansion approach where the solution is represented as a generalized Fourier series of stochastic basis functions, e.g. orthogonal polynomials or wavelets. READ MORE

  7. 25. Models for coupled active-passive population dynamics : Mathematical analysis and simulation

    Author : Thi Kim Thoa Thieu; Adrian Muntean; Matteo Colangeli; Grigorios A. Pavliotis; Karlstads universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; pedestrian dynamics; simple exclusion process; Forchheimer flows; Skorohod equations; nonlinear coupling; heterogenous domain; homogenization; drafting; evacuation; Matematik; Mathematics;

    Abstract : In this dissertation, we study models for coupled active--passive pedestrian dynamics from mathematical analysis and simulation perspectives. The general aim is to contribute to a better understanding of complex pedestrian flows. READ MORE