Search for dissertations about: "weak approximation"

Showing result 1 - 5 of 72 swedish dissertations containing the words weak approximation.

  2. 1. 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

  4. 2. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

    Author : Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

    Abstract : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. READ MORE

  5. 3. Inverse Problems in Analytic Interpolation for Robust Control and Spectral Estimation

    Author : Johan Karlsson; Anders Lindquist; Alberto Isidori; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Nevanlinna-Pick Interpolation; Approximation; Model Reduction; Robust Control; Gap-robustness; Sensitivity Shaping; Entropy functional; Spectral Estimation; Weak*-topology; Monge-Kantorovic Transportation; Optimization; systems theory; Optimeringslära; systemteori;

    Abstract : This thesis is divided into two parts. The first part deals with theNevanlinna-Pick interpolation problem, a problem which occursnaturally in several applications such as robust control, signalprocessing and circuit theory. We consider the problem of shaping andapproximating solutions to the Nevanlinna-Pick problem in a systematicway. READ MORE

  6. 4. 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

  7. 5. On weak and strong convergence of numerical approximations of stochastic partial differential equations

    Author : Fredrik Lindgren; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Additive noise; Cahn-Hilliard-Cook equation; Error estimate; Finite element; Hyperbolic equation; Parabolic equation; Rational approximation; Stochastic partial differential equation; Strong convergence; Truncation; Wiener process; Weak convergence; Weak convergence;

    Abstract : This thesis is concerned with numerical approximation of linear stochastic partial differential equations driven by additive noise. In the first part, we develop a framework for the analysis of weak convergence and within this framework we analyze the stochastic heat equation, the stochastic wave equation, and the linearized stochastic Cahn-Hilliard, or the linearized Cahn-Hilliard-Cook equation. READ MORE