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1
Nass, Aminu Ma'aruf. « Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process ». Doctoral thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25387.
Texte intégralRésumé :
The mixture of Wiener and a Poisson processes are the primary tools used in creating jump-diffusion process which is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology modeling and population dynamics. In this thesis, we extended the Lie point symmetry theory of deterministic differential equations to the class of jump-diffusion stochastic differential equations, i.e., a stochastic process driven by both Wiener and Poisson processes. The Poisson process generates the jumps whereas the Brownian motion path is continuous. The determining equations for a stochastic differential equation with finite jump are successfully derived in an Itô calculus context and are found to be deterministic, even though they represent a stochastic process. This work leads to an understanding of the random time change formulae for Poisson driven process in the context of Lie point symmetries without having to consult much of the intense Itô calculus theory needed to formally derive it. We apply the invariance methodology of Lie point transformation together with the more generalized Itô formulae, without enforcing any conditions to the moments of the stochastic processes to derive the determining equations and apply it to few models. In the first part of the thesis, point symmetry of Poisson-driven stochastic differential equations is discussed, by considering the infinitesimals of not only spatial and temporal variables but also infinitesimals of the Poisson process variable. This was later extended, in the second part, to define the symmetry of jumpdiffusion stochastic differential equations (i.e., stochastic differential equations driven by both Wiener and Poisson processes).
2
Handari, Bevina D. « Numerical methods for SDEs and their dynamics / ». [St. Lucia, Qld.], 2002. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe17145.pdf.
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3
Salhi, Rym. « Contributions to quadratic backward stochastic differential equations with jumps and applications ». Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1023.
Texte intégralRésumé :
Cette thèse porte sur l'étude des équations différentielles stochastiques rétrogrades (EDSR) avec sauts et leurs applications.Dans le chapitre 1, nous étudions une classe d'EDSR lorsque le bruit provient d'un mouvement Brownien et d'une mesure aléatoire de saut indépendante à activité infinie. Plus précisément, nous traitons le cas où le générateur est à croissance quadratique et la condition terminale est non bornée. L'existence et l'unicité de la solution sont prouvées en combinant à la fois la procédure d'approximation monotone et une approche progressive. Cette méthode permet de résoudre le cas où la condition terminale est non bornée.Le chapitre 2 est consacré aux EDSR avec sauts généralisées doublement réfléchies sous des hypothèses d’intégrabilités faibles. Plus précisément, on montre l'existence d'une solution pour un générateur à croissance quadratique stochastique et une condition terminale non bornée. Nous montrons également, dans un cadre approprié, la connexion entre notre classe d’équations différentielles stochastiques rétrogrades et les jeu à somme nuls.Dans le chapitre 3, nous considérons une classe générale d'EDSR progressive-rétrograde couplée avec sauts de type Mackean Vlasov sous une condition faible de monotonicité. Les résultats d'existence et d'unicité sont établis sous deux classes d'hypothèses en se basant sur des schémas de perturbations soit de l’équation différentielle stochastique progressive, soit de l’équation différentielle stochastique rétrograde. On conclut le chapitre par un problème de stockage optimal d’énergie dans un parc électrique de type champs moyenThis thesis focuses on backward stochastic differential equation with jumps and their applications. In the first chapter, we study a backward stochastic differential equation (BSDE for short) driven jointly by a Brownian motion and an integer valued random measure that may have infinite activity with compensator being possibly time inhomogeneous. In particular, we are concerned with the case where the driver has quadratic growth and unbounded terminal condition. The existence and uniqueness of the solution are proven by combining a monotone approximation technics and a forward approach. Chapter 2 is devoted to the well-posedness of generalized doubly reflected BSDEs (GDRBSDE for short) with jumps under weaker assumptions on the data. In particular, we study the existence of a solution for a one-dimensional GDRBSDE with jumps when the terminal condition is only measurable with respect to the related filtration and when the coefficient has general stochastic quadratic growth. We also show, in a suitable framework, the connection between our class of backward stochastic differential equations and risk sensitive zero-sum game. In chapter 3, we investigate a general class of fully coupled mean field forward-backward under weak monotonicity conditions without assuming any non-degeneracy assumption on the forward equation. We derive existence and uniqueness results under two different sets of conditions based on proximation schema weither on the forward or the backward equation. Later, we give an application for storage in smart grids
4
Alnafisah, Yousef Ali. « First-order numerical schemes for stochastic differential equations using coupling ». Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/20420.
Texte intégralRésumé :
We study a new method for the strong approximate solution of stochastic differential equations using coupling and we prove order one error bounds for the new scheme in Lp space assuming the invertibility of the diffusion matrix. We introduce and implement two couplings called the exact and approximate coupling for this scheme obtaining good agreement with the theoretical bound. Also we describe a method for non-invertibility case (Combined method) and we investigate its convergence order which will give O(h3/4 √log(h)j) under some conditions. Moreover we compare the computational results for the combined method with its theoretical error bound and we have obtained a good agreement between them. In the last part of this thesis we work out the performance of the multilevel Monte Carlo method using the new scheme with the exact coupling and we compare the results with the trivial coupling for the same scheme.
5
Manai, Arij. « Some contributions to backward stochastic differential equations and applications ». Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1022.
Texte intégralRésumé :
Cette thèse est consacrée à l'étude des équations différentielles stochastiques rétrogrades (EDSR) et leurs applications. Dans le chapitre 1, on étudie le problème de maximisation de l'utilité de la richesse terminale où le prix de l'actif peut être discontinue sous des contraintes sur les stratégies de l'agent. Nous nous concentrons sur l'EDSR dont la solution représente l'utilité maximale, ce qui permet de transférer des résultats sur les EDSR quadratiques, en particulier les résultats de stabilité, au problème de maximisation d'utilité. Dans le chapitre 2, nous considèrons le problème de valorisation d'options Américaines des points de vue théorique et numérique en s'appuyant sur la représentation du prix de l'option comme solution de viscosité d'une équation parabolique non linéaire. Nous étendons le résultat prouvé dans [Benth, Karlsen and Reikvam 2003] pour un put ou call Américain à un cas plus général dans un cadre multidimensionnel. Nous proposons deux schémas numériques inspirés par les processus de branchement. Nos expériences numériques montrent que l'approximation du générateur discontinu, associé à l'EDP, par des polynômes locaux n'est pas efficace tandis qu'une simple procédure de randomisation donne de très bon résultats. Dans le chapitre 3, nous prouvons des résultats d'existence et d'unicité pour une classe générale d'équations progressives-rétrogrades à champs moyen sous une condition de monotonicité faible et une hypothèse non-dégénérescence sur l'équation progressive et nous donnons une application dans le domaine de stockage d'énergie dans le cas où la production d'électricité est imprévisibleThis thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and their applications. In chapter 1, we study the problem of maximizing the utility from terminal wealth where the stock price may jump and there are investment constraints on the agent 's strategies. We focus on the BSDE whose solution represents the maximal utility, which allows transferring results on quadratic BSDEs, in particular the stability results, to the problem of utility maximisation. In chapter 2, we consider the problem of pricing American options from theoretical and numerical sides based upon an alternative representation of the value of the option in the form of a viscosity solution of a parabolic equation with a nonlinear reaction term. We extend the viscosity solution characterization proved in [Benth, Karlsen and Reikvam 2003] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting. We address two new numerical schemes inspired by the branching processes. Our numerical experiments show that approximating the discontinuous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results. In chapter 3, we prove existence and uniqueness results for a general class of coupled mean-field forward-backward SDEs with jumps under weak monotonicity conditions and without the non-degeneracy assumption on the forward equation and we give an application in the field of storage in smart grids in the case where the production of electricity is unpredictable
6
Leahy, James-Michael. « On parabolic stochastic integro-differential equations : existence, regularity and numerics ». Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/10569.
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In this thesis, we study the existence, uniqueness, and regularity of systems of degenerate linear stochastic integro-differential equations (SIDEs) of parabolic type with adapted coefficients in the whole space. We also investigate explicit and implicit finite difference schemes for SIDEs with non-degenerate diffusion. The class of equations we consider arise in non-linear filtering of semimartingales with jumps. In Chapter 2, we derive moment estimates and a strong limit theorem for space inverses of stochastic flows generated by Lévy driven stochastic differential equations (SDEs) with adapted coefficients in weighted Hölder norms using the Sobolev embedding theorem and the change of variable formula. As an application of some basic properties of flows of Weiner driven SDEs, we prove the existence and uniqueness of classical solutions of linear parabolic second order stochastic partial differential equations (SPDEs) by partitioning the time interval and passing to the limit. The methods we use allow us to improve on previously known results in the continuous case and to derive new ones in the jump case. Chapter 3 is dedicated to the proof of existence and uniqueness of classical solutions of degenerate SIDEs using the method of stochastic characteristics. More precisely, we use Feynman-Kac transformations, conditioning, and the interlacing of space inverses of stochastic flows generated by SDEs with jumps to construct solutions. In Chapter 4, we prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application, we establish the existence and uniqueness of solutions of degenerate linear stochastic integro-differential equations in the L2-Sobolev scale. Finite difference schemes for non-degenerate SIDEs are considered in Chapter 5. Specifically, we study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear SIDEs and show that the rate is of order one in space and order one-half in time.
7
Yannios, Nicholas, et mikewood@deakin edu au. « Computational aspects of the numerical solution of SDEs ». Deakin University. School of Computing and Mathematics, 2001. http://tux.lib.deakin.edu.au./adt-VDU/public/adt-VDU20060817.123449.
Texte intégralRésumé :
In the last 30 to 40 years, many researchers have combined to build the knowledge base of theory and solution techniques that can be applied to the case of differential equations which include the effects of noise. This class of ``noisy'' differential equations is now known as stochastic differential equations (SDEs).
Markov diffusion processes are included within the field of SDEs through the drift and diffusion components of the Itô form of an SDE. When these drift and diffusion components are moderately smooth functions, then the processes' transition probability densities satisfy the Fokker-Planck-Kolmogorov (FPK) equation -- an ordinary partial differential equation (PDE). Thus there is a mathematical inter-relationship that allows solutions of SDEs to be determined from the solution of a noise free differential equation which has been extensively studied since the 1920s.
The main numerical solution technique employed to solve the FPK equation is the classical Finite Element Method (FEM). The FEM is of particular importance to engineers when used to solve FPK systems that describe noisy oscillators. The FEM is a powerful tool but is limited in that it is cumbersome when applied to multidimensional systems and can lead to large and complex matrix systems with their inherent solution and storage problems.
I show in this thesis that the stochastic Taylor series (TS) based time discretisation approach to the solution of SDEs is an efficient and accurate technique that provides transition and steady state solutions to the associated FPK equation.
The TS approach to the solution of SDEs has certain advantages over the classical techniques. These advantages include their ability to effectively tackle stiff systems, their simplicity of derivation and their ease of implementation and re-use. Unlike the FEM approach, which is difficult to apply in even only two dimensions, the simplicity of the TS approach is independant of the dimension of the system under investigation. Their main disadvantage, that of requiring a large number of simulations and the associated CPU requirements, is countered by their underlying structure which makes them perfectly suited for use on the now prevalent parallel or distributed processing systems.
In summary, l will compare the TS solution of SDEs to the solution of the associated FPK equations using the classical FEM technique. One, two and three dimensional FPK systems that describe noisy oscillators have been chosen for the analysis. As higher dimensional FPK systems are rarely mentioned in the literature, the TS approach will be extended to essentially infinite dimensional systems through the solution of stochastic PDEs.
In making these comparisons, the advantages of modern computing tools such as computer algebra systems and simulation software, when used as an adjunct to the solution of SDEs or their associated FPK equations, are demonstrated.
8
Todeschi, Tiziano. « Calibration of local-stochastic volatility models with neural networks ». Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/23052/.
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During the last twenty years several models have been proposed to improve the classic Black-Scholes framework for equity derivatives pricing. Recently a new model has been proposed: Local-Stochastic Volatility Model (LSV). This model considers volatility as the product between a deterministic and a stochastic term. So far, the model choice was not only driven by the capacity of capturing empirically observed market features well, but also by the computational tractability of the calibration process. This is now undergoing a big change since machine learning technologies offer new perspectives on model calibration. In this thesis we consider the calibration problem to be the search for a model which generates given market prices and where additionally technology from generative adversarial networks can be used. This means parametrizing the model pool in a way which is accessible for machine learning techniques and interpreting the inverse problems a training task of a generative network, whose quality is assessed by an adversary. The calibration algorithm proposed for LSV models use as generative models so-called neural stochastic differential equations (SDE), which just means to parameterize the drift and volatility of an Ito-SDE by neural networks.
9
Herdiana, Ratna. « Numerical methods for SDEs - with variable stepsize implementation / ». [St. Lucia, Qld.], 2003. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe17638.pdf.
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10
Yue, Wen. « Absolute continuity of the laws, existence and uniqueness of solutions of some SDEs and SPDEs ». Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/absolute-continuity-of-the-laws-existence-and-uniqueness-of-solutions-of-some-sdes-and-spdes(2bc80de8-7c36-453f-a7c2-69fa4ee0e705).html.
Texte intégralRésumé :
This thesis consists of four parts. In the first part we recall some background theory that will be used throughout the thesis. In the second part, we studied the absolute continuity of the laws of the solutions of some perturbed stochastic differential equaitons(SDEs) and perturbed reflected SDEs using Malliavin calculus. Because the extra terms in the perturbed SDEs involve the maximum of the solution itself, the Malliavin differentiability of the solutions becomes very delicate. In the third part, we studied the absolute continuity of the laws of the solutions of the parabolic stochastic partial differential equations(SPDEs) with two reflecting walls using Malliavin calculus. Our study is based on Yang and Zhang \cite{YZ1}, in which the existence and uniqueness of the solutions of such SPDEs was established. In the fourth part, we gave the existence and uniqueness of the solutions of the elliptic SPDEs with two reflecting walls and general diffusion coefficients.
11
Mezerdi, Mohamed Amine. « Equations différentielles stochastiques de type McKean-Vlasov et leur contrôle optimal ». Electronic Thesis or Diss., Toulon, 2020. http://www.theses.fr/2020TOUL0014.
Texte intégralRésumé :
Nous considérons les équations différentielles stochastiques (EDS) de Mc Kean-Vlasov, qui sont des EDS dont les coefficients de dérive et de diffusion dépendent non seulement de l'état du processus inconnu, mais également de sa loi de probabilité. Ces EDS, également appelées EDS à champ moyen, ont d'abord été étudiées en physique statistique et représentent en quelque sorte le comportement moyen d'un nombre infini de particules. Récemment, ce type d'équations a suscité un regain d'intérêt dans le contexte de la théorie des jeux à champ moyen. Cette théorie a été inventée par P.L. Lions et J.M. Lasry en 2006, pour résoudre le problème de l'existence d'un équilibre de Nash approximatif pour les jeux différentiels, avec un grand nombre de joueurs. Ces équations ont trouvé des applications dans divers domaines tels que la théorie des jeux, la finance mathématique, les réseaux de communication et la gestion des ressources pétrolières. Dans cette thèse, nous avons étudié les questions de stabilité par rapport aux données initiales, aux coefficients et aux processus directeurs des équations de McKean-Vlasov. Les propriétés génériques de ce type d'équations stochastiques, telles que l'existence et l'unicité, la stabilité par rapport aux paramètres, ont été examinées. En théorie du contrôle, notre attention s'est portée sur l'existence et l'approximation de contrôles relaxés pour les systèmes gouvernés par des EDS de Mc Kean-VlasovWe consider Mc Kean-Vlasov stochastic differential equations (SDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of the unknown process but also on its probability distribution. These SDEs called also mean- field SDEs were first studied in statistical physics and represent in some sense the average behavior of an infinite number of particles. Recently there has been a renewed interest for this kind of equations in the context of mean-field game theory. Since the pioneering papers by P.L. Lions and J.M. Lasry, mean-field games and mean-field control theory has raised a lot of interest, motivated by applications to various fields such as game theory, mathematical finance, communications networks and management of oil resources. In this thesis, we studied questions of stability with respect to initial data, coefficients and driving processes of Mc Kean-Vlasov equations. Generic properties for this type of SDEs, such as existence and uniqueness, stability with respect to parameters, have been investigated. In control theory, our attention were focused on existence, approximation of relaxed controls for controlled Mc Kean-Vlasov SDEs
12
Ahn, Tae-Hyuk. « Computational Techniques for the Analysis of Large Scale Biological Systems ». Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/77162.
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An accelerated pace of discovery in biological sciences is made possible by a new generation of computational biology and bioinformatics tools. In this dissertation we develop novel computational, analytical, and high performance simulation techniques for biological problems, with applications to the yeast cell division cycle, and to the RNA-Sequencing of the yellow fever mosquito.
Cell cycle system evolves stochastic effects when there are a small number of molecules react each other. Consequently, the stochastic effects of the cell cycle are important, and the evolution of cells is best described statistically. Stochastic simulation algorithm (SSA), the standard stochastic method for chemical kinetics, is often slow because it accounts for every individual reaction event. This work develops a stochastic version of a deterministic cell cycle model, in order to capture the stochastic aspects of the evolution of the budding yeast wild-type and mutant strain cells. In order to efficiently run large ensembles to compute statistics of cell evolution, the dissertation investigates parallel simulation strategies, and presents a new probabilistic framework to analyze the performance of dynamic load balancing algorithms. This work also proposes new accelerated stochastic simulation algorithms based on a fully implicit approach and on stochastic Taylor expansions.
Next Generation RNA-Sequencing, a high-throughput technology to sequence cDNA in order to get information about a sample's RNA content, is becoming an efficient genomic approach to uncover new genes and to study gene expression and alternative splicing. This dissertation develops efficient algorithms and strategies to find new genes in Aedes aegypti, which is the most important vector of dengue fever and yellow fever. We report the discovery of a large number of new gene transcripts, and the identification and characterization of genes that showed male-biased expression profiles. This basic information may open important avenues to control mosquito borne infectious diseases.Ph. D.
13
Kumar, Chaman. « Explicit numerical schemes of SDEs driven by Lévy noise with super-linear coeffcients and their application to delay equations ». Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/15946.
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We investigate an explicit tamed Euler scheme of stochastic differential equation with random coefficients driven by Lévy noise, which has super-linear drift coefficient. The strong convergence property of the tamed Euler scheme is proved when drift coefficient satisfies one-sided local Lipschitz condition whereas diffusion and jump coefficients satisfy local Lipschitz conditions. A rate of convergence for the tamed Euler scheme is recovered when local Lipschitz conditions are replaced by global Lipschitz conditions and drift satisfies polynomial Lipschitz condition. These findings are consistent with those of the classical Euler scheme. New methodologies are developed to overcome challenges arising due to the jumps and the randomness of the coefficients. Moreover, as an application of these findings, a tamed Euler scheme is proposed for the stochastic delay differential equation driven by Lévy noise with drift coefficient that grows super-linearly in both delay and non-delay variables. The strong convergence property of the tamed Euler scheme for such SDDE driven by Lévy noise is studied and rate of convergence is shown to be consistent with that of the classical Euler scheme. Finally, an explicit tamed Milstein scheme with rate of convergence arbitrarily close to one is developed to approximate the stochastic differential equation driven by Lévy noise (without random coefficients) that has super-linearly growing drift coefficient.
14
Wu, Yue. « Pathwise anticipating random periodic solutions of SDEs and SPDEs with linear multiplicative noise ». Thesis, Loughborough University, 2014. https://dspace.lboro.ac.uk/2134/15991.
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In this thesis, we study the existence of pathwise random periodic solutions to both the semilinear stochastic differential equations with linear multiplicative noise and the semilinear stochastic partial differential equations with linear multiplicative noise in a Hilbert space. We identify them as the solutions of coupled forward-backward infinite horizon stochastic integral equations in general cases, and then perform the argument of the relative compactness of Wiener-Sobolev spaces in C([0, T],L2Ω,Rd)) or C([0, T],L2(Ω x O)) and Schauder's fixed point theorem to show the existence of a solution of the coupled stochastic forward-backward infinite horizon integral equations.
15
Leobacher, Gunther, et Michaela Szölgyenyi. « Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient ». Springer Nature, 2018. http://dx.doi.org/10.1007/s00211-017-0903-9.
Texte intégralRésumé :
We prove strong convergence of order 1/4 - E for arbitrarily small E > 0 of
the Euler-Maruyama method for multidimensional stochastic differential equations
(SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is
based on estimating the difference between the Euler-Maruyama scheme and another
numerical method, which is constructed by applying the Euler-Maruyama scheme to
a transformation of the SDE we aim to solve.
16
Misiran, Masnita. « Modeling and pricing financial assets under long memory processes ». Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/2549.
Texte intégralRésumé :
An important research area in financial mathematics is the study of long memory phenomenon in financial data. Long memory had been known long before suitable stochastic models were developed. Fractional Brownian motion (FBM) can be used to characterize this phenomenon. This thesis examines the use of FBM and its long memory parameter H, from the view point of estimation method, approximation, and numerical performance.How to estimate the long memory parameter H is important in financial pricing. This thesis starts by reviewing the performance of some existing preliminary methods for estimating H. It is then applied to some Malaysia financial data. Although these methods are easy to use, their performance are in doubts, in particular these methods can only get an estimator of H, without providing the dynamic, long-memory behaviour of financial price process.This thesis is therefore concerned with the estimation of the dynamic, long-memory behaviour of financial processes. We propose estimation methods based on models of two stochastic differential equations (SDEs) perturbed by FBM, that play important role in option pricing and interest rate modelling. These models are the geometric fractional Brownian motion (GFBM) and the fractional Ornstein-Uhlenbeck (FOU) model, respectively. These methods are able to obtain H and other parameters involved in the models. The efficiency of these methods are investigated through simulation study. We applied the new methods to some financial problems.We also extend this study to filtering the SDE driven by FBM in multidimensional case. We propose a novel approximation scheme to this problem. The convergence property is also established. The performance of this method is evaluated through solving some numerical examples. Results demonstrate that methods developed in this thesis are applicable and have advantages when compared with other existing approaches.
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Bahar, Arifah. « Applications of stochastic differential equations and stochastic delay differential equations in population dynamics ». Thesis, University of Strathclyde, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415294.
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Dareiotis, Anastasios Constantinos. « Stochastic partial differential and integro-differential equations ». Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/14186.
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In this work we present some new results concerning stochastic partial differential and integro-differential equations (SPDEs and SPIDEs) that appear in non-linear filtering. We prove existence and uniqueness of solutions of SPIDEs, we give a comparison principle and we suggest an approximation scheme for the non-local integral operators. Regarding SPDEs, we use techniques motivated by the work of De Giorgi, Nash, and Moser, in order to derive global and local supremum estimates, and a weak Harnack inequality.
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Abourashchi, Niloufar. « Stability of stochastic differential equations ». Thesis, University of Leeds, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.509828.
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Zhang, Qi. « Stationary solutions of stochastic partial differential equations and infinite horizon backward doubly stochastic differential equations ». Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/34040.
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In this thesis we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between solutions of backward doubly stochastic differential equations (BDSDEs) on infinite horizon and the stationary solutions of the SPDEs. For this, we prove the existence and uniqueness of the L2ρ (Rd; R1) × L2ρ (Rd; Rd) valued solutions of BDSDEs with Lipschitz nonlinear term on both finite and infinite horizons, so obtain the solutions of initial value problems and the stationary weak solutions (independent of any initial value) of SPDEs. Also the L2ρ (Rd; R1) × L2ρ (Rd; Rd) valued BDSDE with non-Lipschitz term is considered. Moreover, we verify the time and space continuity of solutions of real-valued BDSDEs, so obtain the stationary stochastic viscosity solutions of real-valued SPDEs. The connection of the weak solutions of SPDEs and BDSDEs has independent interests in the areas of both SPDEs and BSDEs.
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Mu, Tingshu. « Backward stochastic differential equations and applications : optimal switching, stochastic games, partial differential equations and mean-field ». Thesis, Le Mans, 2020. http://www.theses.fr/2020LEMA1023.
Texte intégralRésumé :
Cette thèse est relative aux Equations Différentielles Stochastique Rétrogrades (EDSRs) réfléchies avec deux obstacles et leurs applications aux jeux de switching de somme nulle, aux systèmes d’équations aux dérivées partielles, aux problèmes de mean-field. Il y a deux parties dans cette thèse. La première partie porte sur le switching optimal stochastique et est composée de deux travaux. Dans le premier travail, nous montrons l’existence de la solution d’un système d’EDSR réfléchies à obstacles bilatéraux interconnectés dans le cadre probabiliste général. Ce problème est lié à un jeu de switching de somme nulle. Ensuite nous abordons la question de l’unicité de la solution. Et enfin nous appliquons les résultats obtenus pour montrer que le système d’EDP associé à une unique solution au sens viscosité, sans la condition de monotonie habituelle. Dans le second travail, nous considérons aussi un système d’EDSRs réfléchies à obstacles bilatéraux interconnectés dans le cadre markovien. La différence avec le premier travail réside dans le fait que le switching ne s’opère pas de la même manière. Cette fois-ci quand le switching est opéré, le système est mis dans l’état suivant importe peu lequel des joueurs décide de switcher. Cette différence est fondamentale et complique singulièrement le problème de l’existence de la solution du système. Néanmoins, dans le cadre markovien nous montrons cette existence et donnons un résultat d’unicité en utilisant principalement la méthode de Perron. Ensuite, le lien avec un jeu de switching spécifique est établi dans deux cadres. Dans la seconde partie nous étudions les EDSR réfléchies unidimensionnelles à deux obstacles de type mean-field. Par la méthode du point fixe, nous montrons l’existence et l’unicité de la solution dans deux cadres, en fonction de l’intégrabilité des donnéesThis thesis is related to Doubly Reflected Backward Stochastic Differential Equations (DRBSDEs) with two obstacles and their applications in zero-sum stochastic switching games, systems of partial differential equations, mean-field problems.There are two parts in this thesis. The first part deals with optimal stochastic switching and is composed of two works. In the first work we prove the existence of the solution of a system of DRBSDEs with bilateral interconnected obstacles in a probabilistic framework. This problem is related to a zero-sum switching game. Then we tackle the problem of the uniqueness of the solution. Finally, we apply the obtained results and prove that, without the usual monotonicity condition, the associated PDE system has a unique solution in viscosity sense. In the second work, we also consider a system of DRBSDEs with bilateral interconnected obstacles in the markovian framework. The difference between this work and the first one lies in the fact that switching does not work in the same way. In this second framework, when switching is operated, the system is put in the following state regardless of which player decides to switch. This difference is fundamental and largely complicates the problem of the existence of the solution of the system. Nevertheless, in the Markovian framework we show this existence and give a uniqueness result by the Perron’s method. Later on, two particular switching games are analyzed.In the second part we study a one-dimensional Reflected BSDE with two obstacles of mean-field type. By the fixed point method, we show the existence and uniqueness of the solution in connection with the integrality of the data
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Rassias, Stamatiki. « Stochastic functional differential equations and applications ». Thesis, University of Strathclyde, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486536.
Texte intégralRésumé :
The general truth that the principle of causality, that is, the future state of a system is independent of its past history, cannot support all the cases under consideration, leads to the introduction of the FDEs. However, the strong need of modelling real life problems, demands the inclusion of stochasticity. Thus, the appearance of the SFDEs (special case of which is the SDDEs) is necessary and definitely unavoidable. It has been almost a century since Langevin's model that the researchers incorporate noise terms into their work. Two of the main research interests are linked with the existence and uniqueness of the solution of the pertinent SFDE/SDDE which describes the problem under consideration, and the qualitative behaviour of the solution. This thesis, explores the SFDEs and their applications. According to the scientific literature, Ito's work (1940) contributed fundamentally into the formulation and study of the SFDEs. Khasminskii (1969), introduced a powerful test for SDEs to have non-explosion solutions without the satisfaction of the linear growth condition. Mao (2002), extended the idea so as to approach the SDDEs. However, Mao's test cannot be applied in specific types of SDDEs. Through our research work we establish an even more general Khasminskii-type test for SDDEs which covers a wide class of highly non-linear SDDEs. Following the proof of the non-explosion of the pertinent solution, we focus onto studying its qualitative behaviour by computing some moment and almost sure asymptotic estimations. In an attempt to apply and extend our theoretical results into real life problems we devote a big part of our research work into studying two very interesting problems that arise : from the area of the population dynamks and from·a problem related to the physical phenomenon of ENSO (EI Nino - Southern Oscillation)
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Hofmanová, Martina. « Degenerate parabolic stochastic partial differential equations ». Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2013. http://tel.archives-ouvertes.fr/tel-00916580.
Texte intégralRésumé :
In this thesis, we address several problems arising in the study of nondegenerate and degenerate parabolic SPDEs, stochastic hyperbolic conservation laws and SDEs with continues coefficients. In the first part, we are interested in degenerate parabolic SPDEs, adapt the notion of kinetic formulation and kinetic solution and establish existence, uniqueness as well as continuous dependence on initial data. As a preliminary result we obtain regularity of solutions in the nondegenerate case under the hypothesis that all the coefficients are sufficiently smooth and have bounded derivatives. In the second part, we consider hyperbolic conservation laws with stochastic forcing and study their approximations in the sense of Bhatnagar-Gross-Krook. In particular, we describe the conservation laws as a hydrodynamic limit of the stochastic BGK model as the microscopic scale vanishes. In the last part, we provide a new and fairly elementary proof of Skorkhod's classical theorem on existence of weak solutions to SDEs with continuous coefficients satisfying a suitable Lyapunov condition.
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Curry, Charles. « Algebraic structures in stochastic differential equations ». Thesis, Heriot-Watt University, 2014. http://hdl.handle.net/10399/2791.
Texte intégralRésumé :
We define a new numerical integration scheme for stochastic differential equations driven by Levy processes with uniformly lower mean square remainder than that of the scheme of the same strong order of convergence obtained by truncating the stochastic Taylor series. In doing so we generalize recent results concerning stochastic differential equations driven by Wiener processes. The aforementioned works studied integration schemes obtained by applying an invertible mapping to the stochastic Taylor series, truncating the resulting series and applying the inverse of the original mapping. The shuffle Hopf algebra and its associated convolution algebra play important roles in the their analysis, arising from the combinatorial structure of iterated Stratonovich integrals. It was recently shown that the algebra generated by iterated It^o integrals of independent Levy processes is isomorphic to a quasi-shuffle algebra. We utilise this to consider map-truncate-invert schemes for Levy processes. To facilitate this, we derive a new form of stochastic Taylor expansion from those of Wagner & Platen, enabling us to extend existing algebraic encodings of integration schemes. We then derive an alternative method of computing map-truncate-invert schemes using a single step, resolving diffculties encountered at the inversion step in previous methods.
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Rajotte, Matthew. « Stochastic Differential Equations and Numerical Applications ». VCU Scholars Compass, 2014. http://scholarscompass.vcu.edu/etd/3383.
Texte intégralRésumé :
We will explore the topic of stochastic differential equations (SDEs) first by developing a foundation in probability theory and It\^o calculus. Formulas are then derived to simulate these equations analytically as well as numerically. These formulas are then applied to a basic population model as well as a logistic model and the various methods are compared. Finally, we will study a model for low dose anthrax exposure which currently implements a stochastic probabilistic uptake in a deterministic differential equation, and analyze how replacing the probablistic uptake with an SDE alters the dynamics.
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Nie, Tianyang. « Stochastic differential equations with constraints on the state : backward stochastic differential equations, variational inequalities and fractional viability ». Thesis, Brest, 2012. http://www.theses.fr/2012BRES0047.
Texte intégralRésumé :
Le travail de thèse est composé de trois thèmes principaux : le premier étudie l'existence et l'unicité pour des équations différentielles stochastiques (EDS) progressives-rétrogrades fortement couplées avec des opérateurs sous-différentiels dans les deux équations, dans l’équation progressive ainsi que l’équation rétrograde, et il discute également un nouveau type des inégalités variationnelles partielles paraboliques associées, avec deux opérateurs sous-différentiels, l’un agissant sur le domaine de l’état, l’autre sur le co-domaine. Le second thème est celui des EDS rétrogrades sans ainsi qu’avec opérateurs sous-différentiels, régies par un mouvement brownien fractionnaire avec paramètre de Hurst H> ½. Il étend de manière rigoureuse les résultats de Hu et Peng (SICON, 2009) aux inégalités variationnelles stochastiques rétrogrades. Enfin, le troisième thème met l’accent sur la caractérisation déterministe de la viabilité pour les EDS régies par un mouvement brownien fractionnaire. Ces trois thèmes de recherche mentionnés ci-dessus ont en commun d’étudier des EDS avec contraintes sur le processus d’état. Chacun des trois sujets est basé sur une publication et des manuscrits soumis pour publication, respectivementThis PhD thesis is composed of three main topics: The first one studies the existence and the uniqueness for fully coupled forward-backward stochastic differential equations (SDEs) with subdifferential operators in both the forward and the backward equations, and it discusses also a new type of associated parabolic partial variational inequalities with two subdifferential operators, one acting over the state domain and the other over the co-domain. The second topic concerns the investigation of backward SDEs without as well as with subdifferential operator, both driven by a fractional Brownian motion with Hurst parameter H> 1/2. It extends in a rigorous manner the results of Hu and Peng (SICON, 2009) to backward stochastic variational inequalities. Finally, the third topic focuses on a deterministic characterisation of the viability for SDEs driven by a fractional Brownian motion. The three research topics mentioned above have in common to study SDEs with state constraints. The discussion of each of the three topics is based on a publication and on submitted manuscripts, respectively
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Reiss, Markus. « Nonparametric estimation for stochastic delay differential equations ». [S.l.] : [s.n.], 2002. http://deposit.ddb.de/cgi-bin/dokserv?idn=964782480.
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Yalman, Hatice. « Change Point Estimation for Stochastic Differential Equations ». Thesis, Växjö University, School of Mathematics and Systems Engineering, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5748.
Texte intégralRésumé :
A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974 and Goldmann-Sachs closings 2005-- May 2009 are given.
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Leng, Weng San. « Backward stochastic differential equations and option pricing ». Thesis, University of Macau, 2003. http://umaclib3.umac.mo/record=b1447308.
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Tunc, Vildan. « Two Studies On Backward Stochastic Differential Equations ». Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614541/index.pdf.
Texte intégralRésumé :
Backward stochastic differential equations appear in many areas of research including mathematical finance, nonlinear partial differential equations, financial economics and stochastic control. The first existence and uniqueness result for nonlinear backward stochastic differential equations was given by Pardoux and Peng (Adapted solution of a backward stochastic differential equation. System and Control Letters, 1990). They looked for an adapted pair of processes {x(t)y(t)}
t is in [0
1]} with values in Rd and Rd×
k respectively, which solves an equation of the form: x(t) + int_t^1 f(s,x(s),y(s))ds + int_t^1 [g(s,x(s)) + y(s)]dWs = X. This dissertation studies this paper in detail and provides all the steps of the proofs that appear in this seminal paper. In addition, we review (Cvitanic and Karatzas, Hedging contingent claims with constrained portfolios. The annals of applied probability, 1993). In this paper, Cvitanic and Karatzas studied the following problem: the hedging of contingent claims with portfolios constrained to take values in a given closed, convex set K. Processes intimately linked to BSDEs naturally appear in the formulation of the constrained hedging problem. The analysis of Cvitanic and Karatzas is based on a dual control problem. One of the contributions of this thesis is an algorithm that numerically solves this control problem in the case of constant volatility. The algorithm is based on discretization of time. The convergence proof is also provided.
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Zettervall, Niklas. « Multi-scale methods for stochastic differential equations ». Thesis, Umeå universitet, Institutionen för fysik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53704.
Texte intégralRésumé :
Standard Monte Carlo methods are used extensively to solve stochastic differential equations. This thesis investigates a Monte Carlo (MC) method called multilevel Monte Carlo that solves the equations on several grids, each with a specific number of grid points. The multilevel MC reduces the computational cost compared to standard MC. When using a fixed computational cost the variance can be reduced by using the multilevel method compared to the standard one. Discretization and statistical error calculations are also being conducted and the possibility to evaluate the errors coupled with the multilevel MC creates a powerful numerical tool for calculating equations numerically. By using the multilevel MC method together with the error calculations it is possible to efficiently determine how to spend an extended computational budget.Standard Monte Carlo metoder används flitigt för att lösa stokastiska differentialekvationer. Denna avhandling undersöker en Monte Carlo-metod (MC) kallad multilevel Monte Carlo som löser ekvationerna på flera olika rutsystem, var och en med ett specifikt antal punkter. Multilevel MC reducerar beräkningskomplexiteten jämfört med standard MC. För en fixerad beräkningskoplexitet kan variansen reduceras genom att multilevel MC-metoden används istället för standard MC-metoden. Diskretiserings- och statistiska felberäkningar görs också och möjligheten att evaluera de olika felen, kopplat med multilevel MC-metoden skapar ett kraftfullt verktyg för numerisk beräkning utav ekvationer. Genom att använda multilevel MC tillsammans med felberäkningar så är det möjligt att bestämma hur en utökad beräkningsbudget speneras så effektivt som möjligt.
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Matetski, Kanstantsin. « Discretisations of rough stochastic partial differential equations ». Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/81460/.
Texte intégralRésumé :
This thesis consists of two parts, in both of which we consider approximations of rough stochastic PDEs and investigate convergence properties of the approximate solutions. In the first part we use the theory of (controlled) rough paths to define a solution for one-dimensional stochastic PDEs of Burgers type driven by an additive space-time white noise. We prove that natural numerical approximations of these equations converge to the solution of a corrected continuous equation and that their optimal convergence rate in the uniform topology (in probability) is arbitrarily close to 1/2 . In the second part of the thesis we develop a general framework for spatial discretisations of parabolic stochastic PDEs whose solutions are provided in the framework of the theory of regularity structures and which are functions in time. As an application, we show that the dynamical �43 model on the dyadic grid converges after renormalisation to its continuous counterpart. This result in particular implies that, as expected, the �43 measure is invariant for this equation and that the lifetime of its solutions is almost surely infinite for almost every initial condition.
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Hashemi, Seyed Naser. « Singular perturbations in coupled stochastic differential equations ». Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ65244.pdf.
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Hollingsworth, Blane Jackson Schmidt Paul G. « Stochastic differential equations a dynamical systems approach / ». Auburn, Ala, 2008. http://repo.lib.auburn.edu/EtdRoot/2008/SPRING/Mathematics_and_Statistics/Dissertation/Hollingsworth_Blane_43.pdf.
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Matsikis, Iakovos. « High gain control of stochastic differential equations ». Thesis, University of Exeter, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.403248.
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Althubiti, Saeed. « STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH INFINITE MEMORY ». OpenSIUC, 2018. https://opensiuc.lib.siu.edu/dissertations/1544.
Texte intégralRésumé :
In this dissertation, we discuss the existence and uniqueness of Ito-type stochastic functional differential equations with infinite memory using fixed point theorem technique. We also address the properties of the solution which are an upper bound for the pth moments of the solution and the Lp-regularity. Then, we provide an analysis to show the local asymptotic L2-stability of the trivial solution using fixed point theorem technique, and we give an approximation of the solution using Euler-Maruyama method providing the global error followed by simulating examples.
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Spantini, Alessio. « Preconditioning techniques for stochastic partial differential equations ». Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/82507.
Texte intégralRésumé :
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2013.This thesis was scanned as part of an electronic thesis pilot project.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 149-155).
This thesis is about preconditioning techniques for time dependent stochastic Partial Differential Equations arising in the broader context of Uncertainty Quantification. State-of-the-art methods for an efficient integration of stochastic PDEs require the solution field to lie on a low dimensional linear manifold. In cases when there is not such an intrinsic low rank structure we must resort on expensive and time consuming simulations. We provide a preconditioning technique based on local time stretching capable to either push or keep the solution field on a low rank manifold with substantial reduction in the storage and the computational burden. As a by-product we end up addressing also classical issues related to long time integration of stochastic PDEs.
by Alessio Spantini.
S.M.
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Kolli, Praveen C. « Topics in Rank-Based Stochastic Differential Equations ». Research Showcase @ CMU, 2018. http://repository.cmu.edu/dissertations/1205.
Texte intégralRésumé :
In this thesis, we tackle two problems. In the first problem, we study fluctuations of a system of diffusions interacting through the ranks when the number of diffusions goes to infinity. It is known that the empirical cumulative distribution function of such diffusions converges to a non-random limiting cumulative distribution function which satisfies the porous medium PDE. We show that the fluctuations of the empirical cumulative distribution function around its limit are governed by a suitable SPDE. In the second problem, we introduce common noise that has a rank preserving structure into systems of diffusions interacting through the ranks and study the behaviour of such diffusion processes as the number of diffusions goes to infinity. We show that the limiting distribution function is no longer deterministic and furthermore, it satisfies a suitable SPDE. iii
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Prerapa, Surya Mohan. « Projection schemes for stochastic partial differential equations ». Thesis, University of Southampton, 2009. https://eprints.soton.ac.uk/342800/.
Texte intégralRésumé :
The focus of the present work is to develop stochastic reduced basis methods (SRBMs) for solving partial differential equations (PDEs) defined on random domains and nonlinear stochastic PDEs (SPDEs). SRBMs have been extended in the following directions: Firstly, an h-refinement strategy referred to as Multi-Element-SRBMs (ME-SRBMs) is developed for local refinement of the solution process. The random space is decomposed into subdomains where SRBMs are employed in each subdomain resulting in local response statistics. These local statistics are subsequently assimilated to compute the global statistics. Two types of preconditioning strategies namely global and local preconditioning strategies are discussed due to their merits such as degree of parallelizability and better convergence trends. The improved accuracy and convergence trends of ME-SRBMs are demonstrated by numerical investigation of stochastic steady state elasticity and stochastic heat transfer applications. The second extension involves the development of a computational approach employing SRBMs for solving linear elliptic PDEs defined on random domains. The key idea is to carry out spatial discretization of the governing equations using finite element (FE) methods and mesh deformation strategies. This results in a linear random algebraic system of equations whose coefficients of expansion can be computed nonintrusively either at the element or the global level. SRBMs are subsequently applied to the linear random algebraic system of equations to obtain the response statistics. We establish conditions that the input uncertainty model must satisfy to ensure the well-posedness of the problem. The proposed formulation is demonstrated on two and three dimensional model problems with uncertain boundaries undergoing steady state heat transfer. A large scale study involving a three-dimensional gas turbine model with uncertain boundary, has been presented in this context. Finally, a numerical scheme that combines SRBMs with the Picard iteration scheme is proposed for solving nonlinear SPDEs. The governing equations are linearized using the response process from the previous iteration and spatially discretized. The resulting linear random algebraic system of equations are solved to obtain the new response process which acts as a guess for the next iteration. These steps of linearization, spatial discretization, solving the system of equations and updating the current guess are repeated until the desired accuracy is achieved. The effectiveness and the limitations of the formulation are demonstrated employing numerical studies in nonlinear heat transfer and the one-dimensional Burger’s equation.
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Liu, Ge. « Statistical Inference for Multivariate Stochastic Differential Equations ». The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1562966204796479.
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Gauthier, Genevieve Carleton University Dissertation Mathematics and Statistics. « Multilevel bilinear system of stochastic differential equations ». Ottawa, 1995.
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Zhang, Xiling. « On numerical approximations for stochastic differential equations ». Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/28931.
Texte intégralRésumé :
This thesis consists of several problems concerning numerical approximations for stochastic differential equations, and is divided into three parts. The first one is on the integrability and asymptotic stability with respect to a certain class of Lyapunov functions, and the preservation of the comparison theorem for the explicit numerical schemes. In general, those properties of the original equation can be lost after discretisation, but it will be shown that by some suitable modification of the Euler scheme they can be preserved to some extent while keeping the strong convergence rate maintained. The second part focuses on the approximation of iterated stochastic integrals, which is the essential ingredient for the construction of higher-order approximations. The coupling method is adopted for that purpose, which aims at finding a random variable whose law is easy to generate and is close to the target distribution. The last topic is motivated by the simulation of equations driven by Lévy processes, for which the main difficulty is to generalise some coupling results for the one-dimensional central limit theorem to the multi-dimensional case.
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Reiß, Markus. « Nonparametric estimation for stochastic delay differential equations ». Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2002. http://dx.doi.org/10.18452/14741.
Texte intégralRésumé :
Sei (X(t), t>= -r) ein stationärer stochastischer Prozess, der die affine stochastische Differentialgleichung mit Gedächtnis dX(t)=L(X(t+s))dt+sigma dW(t), t>= 0, löst, wobei sigma>0, (W(t), t>=0) eine Standard-Brownsche Bewegung und L ein stetiges lineares Funktional auf dem Raum der stetigen Funktionen auf [-r,0], dargestellt durch ein endliches signiertes Maß a, bezeichnet. Wir nehmen an, dass eine Trajektorie (X(t), -r 0, konvergiert. Diese Rate ist schlechter als in vielen klassischen Fällen. Wir beweisen jedoch eine untere Schranke, die zeigt, dass keine Schätzung eine bessere Rate im Minimax-Sinn aufweisen kann. Für zeit-diskrete Beobachtungen von maximalem Abstand Delta konvergiert die Galerkin-Schätzung immer noch mit obiger Rate, sofern Delta is in etwa von der Ordnung T^(-1/2). Hingegen wird bewiesen, dass für festes Delta unabhängig von T die Rate sich signifikant verschlechtern muss, indem eine untere Schranke von T^(-s/(2s+6)) gezeigt wird. Außerdem wird eine adaptive Schätzung basierend auf Wavelet-Thresholding-Techniken für das assoziierte schlechtgestellte Problem konstruiert. Diese nichtlineare Schätzung erreicht die obige Minimax-Rate sogar für die allgemeinere Klasse der Besovräume B^s_(p,infinity) mit p>max(6/(2s+3),1). Die Restriktion p>=max(6/(2s+3),1) muss für jede Schätzung gelten und ist damit inhärent mit dem Schätzproblem verknüpft. Schließlich wird ein Hypothesentest mit nichtparametrischer Alternative vorgestellt, der zum Beispiel für das Testen auf Gedächtnis verwendet werden kann. Dieser Test ist anwendbar für eine L^2-Trennungsrate zwischen Hypothese und Alternative der Ordnung T^(-s/(2s+2.5)). Diese Rate ist wiederum beweisbar optimal für jede mögliche Teststatistik. Für die Beweise müssen die Parameterabhängigkeit der stationären Lösungen sowie die Abbildungseigenschaften der assoziierten Kovarianzoperatoren detailliert bestimmt werden. Weitere Resultate von allgemeinem Interessen beziehen sich auf die Mischungseigenschaft der stationären Lösung, eine Fallstudie zu exponentiellen Gewichtsfunktionen sowie der Approximation des stationären Prozesses durch autoregressive Prozesse in diskreter Zeit.Let (X(t), t>= -r) be a stationary stochastic process solving the affine stochastic delay differential equation dX(t)=L(X(t+s))dt+sigma dW(t), t>= 0, with sigma>0, (W(t), t>=0) a standard one-dimensional Brownian motion and with a continuous linear functional L on the space of continuous functions on [-r,0], represented by a finite signed measure a. Assume that a trajectory (X(t), -r 0. This rate is worse than those obtained in many classical cases. However, we prove a lower bound, stating that no estimator can attain a better rate of convergence in a minimax sense. For discrete time observations of maximal distance Delta, the Galerkin estimator still attains the above asymptotic rate if Delta is roughly of order T^(-1/2). In contrast, we prove that for observation intervals Delta, with Delta independent of T, the rate must deteriorate significantly by providing the rate estimate T^(-s/(2s+6)) from below. Furthermore, we construct an adaptive estimator by applying wavelet thresholding techniques to the corresponding ill-posed inverse problem. This nonlinear estimator attains the above minimax rate even for more general classes of Besov spaces B^s_(p,infinity) with p>max(6/(2s+3),1). The restriction p >= 6/(2s+3) is shown to hold for any estimator, hence to be inherently associated with the estimation problem. Finally, a hypothesis test with a nonparametric alternative is constructed that could for instance serve to decide whether a trajectory has been generated by a stationary process with or without time delay. The test works for an L^2-separation rate between hypothesis and alternative of order T^(-s/(2s+2.5)). This rate is again shown to be optimal among all conceivable tests. For the proofs, the parameter dependence of the stationary solutions has to be studied in detail and the mapping properties of the associated covariance operators have to be determined exactly. Other results of general interest concern the mixing properties of the stationary solution, a case study for exponential weight functions and the approximation of the stationary process by discrete time autoregressive processes.
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Nguyen, Cu Ngoc. « Stochastic differential equations with long-memory input ». Thesis, Queensland University of Technology, 2001.
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Zangeneh, Bijan Z. « Semilinear stochastic evolution equations ». Thesis, University of British Columbia, 1990. http://hdl.handle.net/2429/31117.
Texte intégralRésumé :
Let H be a separable Hilbert space. Suppose (Ω, F, Ft, P) is a complete stochastic basis with a right continuous filtration and {Wt,t ∈ R} is an H-valued cylindrical Brownian motion with respect to {Ω, F, Ft, P). U(t, s) denotes an almost strong evolution operator generated by a family of unbounded closed linear operators on H. Consider the semilinear stochastic integral equation
[formula omitted]
where
• f is of monotone type, i.e., ft(.) = f(t, w,.) : H → H is semimonotone, demicon-tinuous, uniformly bounded, and for each x ∈ H, ft(x) is a stochastic process which satisfies certain measurability conditions.
• gs(.) is a uniformly-Lipschitz predictable functional with values in the space of Hilbert-Schmidt operators on H.
• Vt is a cadlag adapted process with values in H.
• X₀ is a random variable.
We obtain existence, uniqueness, boundedness of the solution of this equation. We show the solution of this equation changes continuously when one or all of X₀, f, g, and V are varied. We apply this result to find stationary solutions of certain equations, and to study the associated large deviation principles.
Let {Zt,t ∈ R} be an H-valued semimartingale. We prove an Ito-type inequality and a Burkholder-type inequality for stochastic convolution [formula omitted]. These are the main tools for our study of the above stochastic integral equation.Science, Faculty of
Mathematics, Department of
Graduate
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Burgos, Sylvestre Jean-Baptiste Louis. « The computation of Greeks with multilevel Monte Carlo ». Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd.
Texte intégralRésumé :
In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is commonly done using Monte Carlo simulations. However, obtaining accurate estimates of the Greeks can be computationally costly. Multilevel Monte Carlo offers complexity improvements over standard Monte Carlo techniques. However the idea has never been used for the computation of Greeks. In this work we answer the following questions: can multilevel Monte Carlo be useful in this setting? If so, how can we construct efficient estimators? Finally, what computational savings can we expect from these new estimators? We develop multilevel Monte Carlo estimators for the Greeks of a range of options: European options with Lipschitz payoffs (e.g. call options), European options with discontinuous payoffs (e.g. digital options), Asian options, barrier options and lookback options. Special care is taken to construct efficient estimators for non-smooth and exotic payoffs. We obtain numerical results that demonstrate the computational benefits of our algorithms. We discuss the issues of convergence of pathwise sensitivities estimators. We show rigorously that the differentiation of common discretisation schemes for Ito processes does result in satisfactory estimators of the the exact solutions’ sensitivities. We also prove that pathwise sensitivities estimators can be used under some regularity conditions to compute the Greeks of options whose underlying asset’s price is modelled as an Ito process. We present several important results on the moments of the solutions of stochastic differential equations and their discretisations as well as the principles of the so-called “extreme path analysis”. We use these to develop a rigorous analysis of the complexity of the multilevel Monte Carlo Greeks estimators constructed earlier. The resulting complexity bounds appear to be sharp and prove that our multilevel algorithms are more efficient than those derived from standard Monte Carlo.
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Pätz, Torben [Verfasser]. « Segmentation of Stochastic Images using Stochastic Partial Differential Equations / Torben Pätz ». Bremen : IRC-Library, Information Resource Center der Jacobs University Bremen, 2012. http://d-nb.info/1035219735/34.
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Moon, Kyoung-Sook. « Adaptive Algorithms for Deterministic and Stochastic Differential Equations ». Doctoral thesis, KTH, Numerical Analysis and Computer Science, NADA, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3586.
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Guillouzic, Steve. « Fokker-Planck approach to stochastic delay differential equations ». Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/NQ58279.pdf.
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Sipiläinen, Eeva-Maria. « Pathwise view on solutions of stochastic differential equations ». Thesis, University of Edinburgh, 1993. http://hdl.handle.net/1842/8202.
Texte intégralRésumé :
The Ito-Stratonovich theory of stochastic integration and stochastic differential equations has several shortcomings, especially when it comes to existence and consistency with the theory of Lebesque-Stieltjes integration and ordinary differential equations. An attempt is made firstly, to isolate the path property, possessed by almost all Brownian paths, that makes the stochastic theory of integration work. Secondly, to construct a new concept of solutions for differential equations, which would have the required consistency and continuity properties, within a class of deterministic noise functions, large enough to include almost all Brownian paths. The algebraic structure of iterated path integrals for smooth paths leads to a formal definition of a solution for a differential equation in terms of generalized path integrals for more general noises. This suggests a way of constructing solutions to differential equations in a large class of paths as limits of operators. The concept of the driving noise is extended to include the generalized path integrals of the noise. Less stringent conditions on the Holder continuity of the path can be compensated by giving more of its iterated integrals. Sufficient conditions for the solution to exist are proved in some special cases, and it is proved that almost all paths of Brownian motion as well as some other stochastic processes can be included in the theory.