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Showing result 1 - 5 of 20 swedish dissertations matching the above criteria.

2. 1. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

   Author : José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

   Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE

4. 2. 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

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. The Finite Element Method for Fractional Order Viscoelasticity and the Stochastic Wave Equation

   Author : Fardin Saedpanah; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; finite element method; continuous Galerkin method; linear viscoelasticity; fractional calculus; fractional order viscoelasticity; weakly singular kernel; stability; a priori error estimate; a posteriori error estimate; stochastic wave equation; additive noise; Wiener process; strong convergence.; linear viscoelasticity;

   Abstract : This thesis can be considered as two parts. In the first part a hyperbolic type integro-differential equation with weakly singular kernel is considered, which is a model for dynamic fractional order viscoelasticity. In the second part, the finite element approximation of the linear stochastic wave equation is studied. READ MORE

7. 5. Barycentric Markov processes and stability of stochastic integrators

   Author : Philip Kennerberg; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; geometric probability; dirichlet processes; Markov processes; stochastic integration; interacting particle systems;

   Abstract : This thesis consists of four papers that broadly concerns two dierent topics. The rsttopic is so-called barycentric Markov processes. By a barycentric Markov process wemean a process that consists of a point/particle system evolving in (discrete) time,whose evolution depends in some way on the mean value of the current points in thesystem. READ MORE