Search for dissertations about: "backward stochastic differential equations"

Showing result 1 - 5 of 11 swedish dissertations containing the words backward stochastic differential equations.

2. 1. 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. 2. Optimal Switching Problems and Related Equations

   Author : Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

   Abstract : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. READ MORE

5. 3. 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

6. 4. Topics in the mean-field type approach to pedestrian crowd modeling and conventions

   Author : Alexander Aurell; Boualem Djehiche; Xiaoming Hu; Roland Malhamé; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; pedestrian crowds; stochastic differential equations; mean field; stochastic control; games; backward dynamics; sticky boundary; stochastic maximum principle; social conventions; folkmassor; stokastiska differentialekvationer; medelfält; stokastisk styrning; limaktiga randvillkor; stokastiska maximumprincipen; dynamik med ändvillkor; spel; konventioner;

   Abstract : This thesis consists of five appended papers, primarily addressingtopics in pedestrian crowd modeling and the formation of conventions.The first paper generalizes a pedestrian crowd model for competingsubcrowds to include nonlocal interactions and an arbitrary (butfinite) number of subcrowds. READ MORE

7. 5. A Cubature Method for Solving Stochastic Equations : A Modern Monte-Carlo Approach with Applications to Financial Market

   Author : Hossein Nohrouzian; Anatoliy Malyarenko; Ying Ni; Christopher Engström; Viktor Abramov; Mälardalens universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : Before the financial crisis started in 2007, there were no significant spreads between the forward rate curves constructed either using the market quotes of overnight indexed swaps or those of forward rate agreements. After the crisis, we observe such spreads in the form of forward spread curves. READ MORE