Search for dissertations about: "stochastic approximation"
Showing result 11 - 15 of 122 swedish dissertations containing the words stochastic approximation.
-
11. Numerical analysis for random processes and fields and related design problems
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
-
12. Topics in Simulation and Stochastic Analysis
Abstract : Paper A investigates how to simulate a differentiated mean in cases where interchanging differentiation and expectation is not allowed. Three approaches are available, finite differences (FD's), infinitesimal perturbation analysis (IPA) and the likelihood ratio score function (LRSF) method. READ MORE
-
13. Inference techniques for stochastic nonlinear system identification with application to the Wiener-Hammerstein models
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
-
14. Exponential integrators for stochastic partial differential equations
Abstract : Stochastic partial differential equations (SPDEs) have during the past decades become an important tool for modeling systems which are influenced by randomness. Because of the complex nature of SPDEs, knowledge of efficient numerical methods with good convergence and geometric properties is of considerable importance. READ MORE
-
15. Approximation and Calibration of Stochastic Processes in Finance
Abstract : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. READ MORE