Search for dissertations about: "Stochastic partial differential equation"

Showing result 6 - 10 of 32 swedish dissertations containing the words Stochastic partial differential equation.

  2. 6. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Author : Raul Tempone Olariaga; KTH; []
    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; Numerical analysis; 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

  4. 7. Numerical Methods for Stochastic Modeling of Genes and Proteins

    Author : Paul Sjöberg; Per Lötstedt; Måns Ehrenberg; Achim Schroll; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; master equation; Fokker-Planck equation; stochastic models; biochemical reaction networks; Scientific Computing; Beräkningsvetenskap;

    Abstract : Stochastic models of biochemical reaction networks are used for understanding the properties of molecular regulatory circuits in living cells. The state of the cell is defined by the number of copies of each molecular species in the model. READ MORE

  5. 8. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

    Author : Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

    Abstract : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. READ MORE

  6. 9. 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

  7. 10. A Probabilistic Approach to Non-Markovian Impulse Control

    Author : Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

    Abstract : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. READ MORE