Search for dissertations about: "variational inequalities"

Showing result 1 - 5 of 8 swedish dissertations containing the words variational inequalities.

  1. 1. Some Applications of Variational Inequalities in Mathematical Finance and Numerics

    University dissertation from Centre for Mathematical Sciences, Lund University

    Author : Martin Dahlgren; Lunds universitet.; Lund University.; [2005]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics; HJB quasi variational inequalities; option pricing; Impulse control; parabolic PDE; finite element method; Galerkin method;

    Abstract : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. READ MORE

  2. 2. Some special problems in elliptic and parabolic variational inequalities

    University dissertation from Luleå : Luleå tekniska universitet

    Author : Gulchehra Kulieva; Luleå tekniska universitet.; [2006]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

    Abstract : This Licentiate Thesis is devoted above all to the investigation of variational inequalities. Chapter 1 deals with linear elliptic variational inequalities, where the operator is degenerated or singular, which involves the use of some weighted Sobolev spaces. READ MORE

  3. 3. Optimal Switching Problems and Related Equations

    University dissertation from Uppsala : Department of Mathematics

    Author : Marcus Olofsson; Uppsala universitet.; [2015]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

    Abstract : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. READ MORE

  4. 4. On the pricing equations of some path-dependent options

    University dissertation from Uppsala : Matematiska institutionen

    Author : Jonatan Eriksson; Uppsala universitet.; [2006]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; MATHEMATICS Algebra; geometry and mathematical analysis Mathematical analysis; MATEMATIK Algebra; geometri och analys Analys;

    Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE

  5. 5. Fixed points, fractals, iterated function systems and generalized support vector machines

    University dissertation from Västerås : Mälardalen University Press

    Author : Xiaomin Qi; Mälardalens högskola.; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; support vector machine; fixed points; iterated function system; variational inequality; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : In this thesis, fixed point theory is used to construct a fractal type sets and to solve data classification problem. Fixed point method, which is a beautiful mixture of analysis, topology, and geometry has been revealed as a very powerful and important tool in the study of nonlinear phenomena. READ MORE