Search for dissertations about: "Stochastic partial differential equations"

Showing result 1 - 5 of 27 swedish dissertations containing the words Stochastic partial differential equations.

  1. 1. Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis

    Author : Andreas Petersson; []
    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

  2. 2. 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

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

    University dissertation from Umeå : Umeå universitet

    Author : Thomas Önskog; Umeå universitet.; [2009]
    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

  4. 4. Variational Methods for Moments of Solutions to Stochastic Differential Equations

    University dissertation from Gothenburg : Chalmers tekniska högskola

    Author : Kristin Kirchner; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Additive and multiplicative noise; Stochastic partial differential equation; Projective and injective tensor product space; Hilbert tensor product space; Space-time variational problem; Petrov-Galerkin discretization; Stochastic ordinary differential equation;

    Abstract : Numerical methods for stochastic differential equations typically estimate moments of the solution from sampled paths. Instead, we pursue the approach proposed by A. Lang, S. Larsson, and Ch. READ MORE

  5. 5. Numerical Approximation of Solutions to Stochastic Partial Differential Equations and Their Moments

    University dissertation from Göteborg : Chalmers tekniska högskola

    Author : Kristin Kirchner; Göteborgs universitet.; Gothenburg University.; [2018]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Petrov– Galerkin discretizations; Strong and weak convergence; Fractional operators; Finite element methods; Space-time variational problems; Tensor product spaces; Stochastic partial differential equations; White noise;

    Abstract : The first part of this thesis focusses on the numerical approximation of the first two moments of solutions to parabolic stochastic partial differential equations (SPDEs) with additive or multiplicative noise. More precisely, in Paper I an earlier result (A. Lang, S. Larsson, and Ch. READ MORE