Sökning: "stokastisk process"

Visar resultat 6 - 10 av 42 uppsatser innehållade orden stokastisk process.

  1. 6. Approximating Quasistationary Distributions Using Deep Learning

    Master-uppsats, KTH/Matematisk statistik

    Författare :Björn Wehlin; [2022]
    Nyckelord :Applied Mathematics; Deep Learning; Probability Theory; Stochastic Processes; Ito Diffusions; Quasistationary Distributions; Tillämpad matematik; djupinlärning; sannolikhetsteori; stokastiska processer; Ito-diffusioner; kvasistationära fördelningar;

    Sammanfattning : We study a class of It\={o} diffusion processes on domains with smooth boundary, at which the process is killed. Such a process, when conditioned on non-extinction, gives rise to a stationary state known as a \emph{quasistationary distribution} (QSD). LÄS MER

  3. 7. On Merton's Portfolio Problem : A Stochastic Optimal Control Problem

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Hugo Jacobsson; [2022]
    Nyckelord :;

    Sammanfattning : The purpose of this thesis is to examine and solve a classic financial optimization problem known as Merton’s Portfolio Problem. The problem is driven by a stochastic process and can thereby be classified as a stochastic optimal control problem. LÄS MER

  4. 8. Approximation of General Semi-Markov Models Using Expolynomials

    Master-uppsats, KTH/Matematisk statistik

    Författare :Niklas Nyholm; [2021]
    Nyckelord :applied mathematics; Markov modelling; Semi-Markov process; approximation theory; expolynomial; phase-type distribution; reliability analysis; tillämpad matematik; Markov modellering; Semi-Markov process; approximations teori; expolynom; phase-type fördelning; riskanalys;

    Sammanfattning : Safety analysis is critical when developing new engineering systems. Many systems have to function under randomly occurring events, making stochastic processes useful in a safety modelling context. However, a general stochastic process is very challenging to analyse mathematically. LÄS MER

  5. 9. Development of Swarm Traffic Algorithms : Road detection within an ellipse

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Massimiliano Dal Mas; [2021]
    Nyckelord :OpenSCENARIO; autonomous driving scenario representation; simulation infrastructure; automated driving systems; self-driving car project;

    Sammanfattning : The latest trends in autonomous vehicles research gave rise to the needs for specific tools to validate and test such systems. The estimations state that to consider an autonomous vehicle statistically safe, it should drive for thousands of kilometres using traditional validation methods. This process would take a long time. LÄS MER

  7. 10. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER