Essays about: "numerical stochastic"

Showing result 1 - 5 of 94 essays containing the words numerical stochastic.

  1. 1. Itô Diffusions on Level Sets

    University essay from Uppsala universitet/Analys och partiella differentialekvationer; Uppsala universitet/Statistik, AI och data science

    Author : Coën Olofsson; [2023]
    Keywords : Itô diffusions; level sets; stochastic differential geometry; numerical schemes;

    Abstract : Itô diffusions that move on level sets of functions in Rn, which we have called level processes, are an overlooked variant of the classical Itô processes. These processes find themselves nestled between the study of regular Itô diffusions in Rn and diffusions which are bound to smooth manifolds. READ MORE

  3. 2. Improved Statistical Methods for Elliptic Stochastic Homogenization Problems : Application of Multi Level- and Multi Index Monte Carlo on Elliptic Stochastic Homogenization Problems

    University essay from Uppsala universitet/Tillämpad beräkningsvetenskap

    Author : Khalil Daloul; [2023]
    Keywords : Homogenization; Multilevel Monte Carlo; Multi-Index Monte Carlo; Monte Carlo; Multiscale methods;

    Abstract : In numerical multiscale methods, one relies on a coupling between macroscopic model and a microscopic model. The macroscopic model does not include the microscopic properties that the microscopic model offers and that are vital for the desired solution. READ MORE

  4. 3. Optimal Multitaper Spectrograms

    University essay from Lunds universitet/Matematisk statistik

    Author : Markus Ydreskog; [2023]
    Keywords : Time-frequency analysis; Multitaper spectrogram; Optimization; Wigner distribution; Mathematics and Statistics;

    Abstract : Multitaper spectrograms have been proposed as a method of improving the spectrogram as a time-frequency representation (TFR). This thesis aimed to investigate both previously used and new methods for combining multitaper spectrograms of a Gaussian signal and a chirp. READ MORE

  5. 4. Merton's Portfolio Problem under Jourdain--Sbai Model

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

    Author : Sajedeh Saadat; [2023]
    Keywords : Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Abstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE

  6. 5. Gradients of the Poisson Equation using a Stochastic Method

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Emil Gestsson; [2023]
    Keywords : ;

    Abstract : In this report, a recently discovered numerical method has been tested and shown to be viable. The method aims to calculate the gradient of the solution of a bounded Poisson equation, specifically: 1/2 ∇² φ + f |G = 0,   φ(x) |∂G  = 0, (0.1) where G is some open domain. READ MORE