Search for dissertations about: "Wiener process"

Showing result 11 - 15 of 32 swedish dissertations containing the words Wiener process.

2. 11. Approximation of Infinitely Divisible Random Variables with Application to the Simulation of Stochastic Processes

   Author : Magnus Wiktorsson; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; operations research; Statistics; aktuariematematik; Stochastic differential equation; Infinitely divisible distribution; Type G distribution; Lévy process; Stochastic integral; Mathematical Statistics; Matematik; Mathematics; programming; actuarial mathematics; Statistik; operationsanalys; programmering;

   Abstract : This thesis consists of four papers A, B, C and D. Paper A and B treats the simulation of stochastic differential equations (SDEs). The research presented therein was triggered by the fact that there were not any efficient implementations of the higher order methods for simulating SDEs. READ MORE

4. 12. Contributions to Numerical Solution of Stochastic Differential Equations

   Author : Anders Muszta; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

   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

5. 13. Control and Communication with Signal-to-Noise Ratio Constraints

   Author : Erik Johannesson; Institutionen för reglerteknik; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Real-time coding; SNR; Causal coding; AWN channel; AWGN channel; Remote source; Networked control; Control over channel; Convex optimization; Wiener filter;

   Abstract : This thesis is about two problems in the intersection of communication and control theory. Their common feature is that they involve communication over an additive white noise channel with a signal-to-noise ratio (SNR) constraint. The first problem concerns the transmission of a real-valued signal from a partially observed Markov source. READ MORE

6. 14. A class of infinite dimensional stochastic processes with unbounded diffusion

   Author : John Karlsson; Jörg-Uwe Löbus; Christian Bayer; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Malliavin calculus; Dirichlet form on Wiener space; unbounded diffusion;

   Abstract : The aim of this work is to provide an introduction into the theory of infinite dimensional stochastic processes. The thesis contains the paper A class of infinite dimensional stochastic processes with unbounded diffusion written at Linköping University during 2012. READ MORE

7. 15. A class of infinite dimensional stochastic processes with unbounded diffusion and its associated Dirichlet forms

   Author : John Karlsson; Jörg-Uwe Löbus; Torkel Erhardsson; Hans-Jürgen Engelbert; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis consists of two papers which focuses on a particular diffusion type Dirichlet form  where  Here  is the basis in the Cameron-Martin space, H, consisting of the Schauder functions, and ν denotes the Wiener measure.In Paper I, we let  vary over the space of wiener trajectories in a way that the diffusion operator A is almost everywhere an unbounded operator on the Cameron–Martin space. READ MORE