Search for dissertations about: "random integral equation"

Found 4 swedish dissertations containing the words random integral equation.

  2. 1. 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. 2. Conformal Maps, Bergman Spaces, and Random Growth Models

    Author : Alan Sola; Haakan Hedenmalm; Robert Berman; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Conformal maps; Bergman kernels; planar growth models; MATHEMATICS; MATEMATIK;

    Abstract : This thesis consists of an introduction and five research papers on topics related to conformal mapping, the Loewner equation and its applications, and Bergman-type spaces of holomorphic functions. The first two papers are devoted to the study of integral means of derivatives of conformal mappings. READ MORE

  5. 3. Uncertainty quantification for high frequency waves

    Author : Gabriela Malenova; Olof Runborg; Fabio Nobile; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Matematik;

    Abstract : We consider high frequency waves satisfying the scalar wave equation with highly oscillatory initial data represented by a short wavelength ε. The speed of propagation of the medium as well as the phase and amplitude of the initial data is assumed to be uncertain, described by a finite number of independent random variables with known probability distributions. READ MORE

  6. 4. 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