Search for dissertations about: "weak convergence"

Showing result 16 - 20 of 61 swedish dissertations containing the words weak convergence.

  2. 16. 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. 17. Testing for Rationality, Separability and Efficiency

    Author : Per Hjertstrand; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Revealed preference; Regional convergence; Rationality; Nonparametric; NONPAR test; LP test; GARP; Efficiency; Data Envelopment Analysis DEA ; Afriat’s Theorem; Bootstrap; Swofford and Whitney test; Weak separability;

    Abstract : This thesis aims to propose, evaluate and apply test procedures for rationality, weak separability and efficiency. In particular, it focuses on nonparametric revealed preference procedures. READ MORE

  5. 18. A Non-Gaussian Limit Process with Long-Range Dependence

    Author : Raimundas Gaigalas; Ingemar Kaj; Esko Valkeila; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; long-range dependence; traffic modelling; arrival process; self-similarity; heavy tails; fractional Brownian motion; stable processes; renewal processes; independently scattered random measure; weak convergence; 60F17; 60G18; 90B18; 60K05 ; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Abstract : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. READ MORE

  6. 19. 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

  7. 20. Weak Boundary and Interface Procedures for Wave and Flow Problems

    Author : Qaisar Abbas; Jan Nordström; Peter Eliasson; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; weak boundary conditions; multiple penalty; finite difference methods; summation-by-parts; high order scheme; hybrid methods; MUSCL scheme; shocks; stability; energy estimate; steady-state; non-reflecting; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Abstract : In this thesis, we have analyzed the accuracy and stability aspects of weak boundary and interface conditions (WBCs) for high order finite difference methods on Summations-By-Parts (SBP) form. The numerical technique has been applied to wave propagation and flow problems. READ MORE