Search for dissertations about: "stochastic approximation algorithm"

Showing result 1 - 5 of 28 swedish dissertations containing the words stochastic approximation algorithm.

  1. 1. 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

  2. 2. 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

  3. 3. Numerical analysis for random processes and fields and related design problems

    University dissertation from Umeå : Institutionen för matematik och matematisk statistik, Umeå universitet

    Author : Konrad Abramowicz; Umeå universitet.; [2011]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; MATHEMATICS Applied mathematics Mathematical statistics; MATEMATIK Tillämpad matematik Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Abstract : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. READ MORE

  4. 4. Inference techniques for stochastic nonlinear system identification with application to the Wiener-Hammerstein models

    University dissertation from Gothenburg : Chalmers tekniska högskola

    Author : Giuseppe Giordano; [2018]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; nonlinear systems; system identification; stochastic; Maximum Likelihood; Wiener-Hammerstein; Monte Carlo; Newton s method;

    Abstract : Stochastic nonlinear systems are a specific class of nonlinear systems where unknown disturbances affect the system's output through a nonlinear transformation. In general, the identification of parametric models for this kind of systems can be very challenging. READ MORE

  5. 5. Semi-Markov Models for Insurance and Option Rewards

    University dissertation from Institutionen för matematik och fysik

    Author : Fredrik Stenberg; Mälardalens högskola.; [2007]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE