Search for dissertations about: "stochastic differential equation"

Showing result 16 - 20 of 66 swedish dissertations containing the words stochastic differential equation.

  2. 16. Coarse Graining Monte Carlo Methods for Wireless Channels and Stochastic Differential Equations

    Author : Håkon Hoel; Anders Szepessy; Ola Hössjer; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Coarse graining; Monte Carlo Methods; Stochastic processes; Numerical analysis; Numerisk analys;

    Abstract : This thesis consists of two papers considering different aspects of stochastic process modelling and the minimisation of computational cost. In the first paper, we analyse statistical signal properties and develop a Gaussian pro- cess model for scenarios with a moving receiver in a scattering environment, as in Clarke’s model, with the generalisation that noise is introduced through scatterers randomly flip- ping on and off as a function of time. READ MORE

  4. 17. Selected Topics in Mathematical Modelling: Machine Learning and Tugs-of-War

    Author : Carmina Fjellström; Kaj Nyström; Andrea Pascucci; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Machine learning; Neural networks; LSTM; Financial forecasting; Time series analysis; Stochastic gradient descent; Diffusion map; Dimension reduction; Tug-of-war games; Fractional heat operator; Mean value property; Infinity fractional heat operators; Dynamic programming principle; p-Laplacian; Infinity Laplacian; Kolmogorov equation; Stochastic games; Viscosity solutions; Tillämpad matematik och statistik; Applied Mathematics and Statistics;

    Abstract : This thesis concerns selected topics in mathematical modelling, namely in machine learning and stochastic games called tugs-of-war. It consists of four scientific articles. The first and second are about machine learning topics, while the third and fourth articles are about tug-of-war games. READ MORE

  5. 18. Convergence and stability analysis of stochastic optimization algorithms

    Author : Måns Williamson; Matematik LTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; numerical analysis; optimization; stochastic optimization; machine learning;

    Abstract : This thesis is concerned with stochastic optimization methods. The pioneering work in the field is the article “A stochastic approximation algorithm” by Robbins and Monro [1], in which they proposed the stochastic gradient descent; a stochastic version of the classical gradient descent algorithm. READ MORE

  6. 19. Stochastic modelling in disability insurance

    Author : Björn Löfdahl; Boualem Djehiche; Mogens Steffensen; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of two papers related to the stochastic modellingof disability insurance. In the first paper, we propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. READ MORE

  7. 20. A Probabilistic Approach to Non-Markovian Impulse Control

    Author : Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

    Abstract : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. READ MORE