Search for dissertations about: "stochastic differential equations"

Showing result 21 - 25 of 88 swedish dissertations containing the words stochastic differential equations.

  2. 21. 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. 22. Uncertainty Modelling in Hydrological Applications - Error Propagation Properties of Random Linear Systems

    Author : Jan Agerholm Høybye; Avdelningen för Teknisk vattenresurslära; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; geographical and geological engineering; Hydrogeology; floods; water quality; prediction uncertainty; differential equations; Stochastic hydrology; random functions; Hydrogeologi; teknisk geologi; teknisk geografi; Geophysics; physical oceanography; meteorology; Geofysik; fysisk oceanografi; meteorologi;

    Abstract : In hydrological models for water resources management and planning, the model output or design quantities are functions of the input data and a number of parameters that are essentially stochastic processes or random variables. The task of uncertainty analysis is to estimate the uncertainty characteristics of the model output in terms of the uncertainties in the input, model parameters and initial conditions. READ MORE

  5. 23. Recent advances in the numerical solution of stochastic differential equations

    Author : Anders Muszta; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : .... READ MORE

  6. 24. 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

  7. 25. Statistical inference on interacting particle systems with applications to cancer biology

    Author : Gustav Lindwall; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; reaction-diffusion equations; bayesian inference; mathematical biology; gent based modelling; stochastic differential equations;

    Abstract : Interacting particle is a mathematical framework which allows for condensed and elegant modelling of complex phenomena undergoing both deterministic and random dynamics. While there are several ways to formulate an interacting particle system, this thesis focuses on modelling such dynamics using stochastic differential equations. READ MORE