Essays about: "Euler algorithm"

Showing result 1 - 5 of 20 essays containing the words Euler algorithm.

  1. 1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Jonathan Leung; [2023]
    Keywords : Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

    Abstract : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. READ MORE

  3. 2. Development and Implementation of a Mass Balancing System for CubeSat Attitude Hardware-in-the-Loop Simulations

    University essay from Luleå tekniska universitet/Rymdteknik

    Author : Guillermo Ledo López; [2019]
    Keywords : hil; hardware in the loop; simulation; satellite; simulator; platform; simulink; matlab; least squares; aocs; testing; attitude; dynamics; control;

    Abstract : Spacecraft simulator platforms can simulate the microgravity environment of space on Earth, for the purposes of testing the Attitude and Orbit Control Subsystem of satellites. In order to do this, the satellite is mounted on a bench and the combined center of mass of this assembly is controlled by a series of moving masses. READ MORE

  4. 3. Semi-Markov processes for calculating the safety of autonomous vehicles

    University essay from KTH/Matematisk statistik

    Author : Stefan Kaalen; [2019]
    Keywords : Semi-Markov process; functional safety; autonomous vehicle; hazardous event; Stieltjes convolution; reliability; Laplace-Stieltjes transform; Euler algorithm; Talbot algorithm; Semi-Markov process; funktionell säkerhet; autonoma fordon; farlig situation; Stieltjes faltning; funktionssäkerhet; Laplace-Stieltjes transform; Eulers algoritm; Talbots algoritm;

    Abstract : Several manufacturers of road vehicles today are working on developing autonomous vehicles. One subject that is often up for discussion when it comes to integrating autonomous road vehicles into the infrastructure is the safety aspect. There is in the context no common view of how safety should be quantified. READ MORE

  5. 4. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Krister Janzon; [2018]
    Keywords : Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Abstract : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). READ MORE

  6. 5. CIR Modeling of Interest Rates

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : ZAN MIAO; [2018]
    Keywords : ;

    Abstract : Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. READ MORE