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Showing result 1 - 5 of 9 swedish dissertations matching the above criteria.

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

    Author : Martin Dahlgren; Matematik LTH; []
    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

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

    Author : Gulchehra Kulieva; Luleå tekniska universitet; []
    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

  5. 3. Optimal Switching Problems and Related Equations

    Author : Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
    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

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

    Author : Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    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; Mathematical analysis; 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

  7. 5. Capacities, Poincaré inequalities and gluing metric spaces

    Author : Andreas Christensen; Anders Björn; Jana Björn; Tomas Sjödin; Tapio Rajala; Linköpings universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of an introduction, and one research paper with results related to potential theory both in the classical Euclidean setting, as well as in quite general metric spaces.The introduction contains a theoretical and historical background of some basic concepts, and their more modern generalisations to metric spaces developed in the last 30 years. READ MORE