Dissertations / Theses on the topic 'Directional derivatives'
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Bielagk, Jana. "Essays on Market Microstructure and Pathwise Directional Derivatives." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/18817.
We analyze equilibrium problems arising from interacting markets and market participants, first competing markets with feedback and asymmetric information, then strategically interacting traders; moreover we analyze a new notion of a pathwise directional derivative in the context of pathwise Malliavin calculus. The first chapter analyzes a principal-agent game in which a monopolistic profit-maximizing dealer competes with a crossing network (CN) for trading with privately informed agents. We analyze the structure of the dealer’s offered pricing schedules for different outside options. We give sufficient conditions for the existence and uniqueness of a solution to the dealer’s problem and show that in our setting the introduction of the CN is beneficial for the agents. Additionally, we discuss existence and uniqueness of an equilibrium price for the feedback between dealer and CN. In the second chapter we analyze the impact of performance concerns on a problem of equilibrium pricing. A derivative is priced such that the market clears, given strategically behaving agents. Their risk stems from a risky position in the future and the relative trading gains compared to all other agents. The risk measure of each agent is specified by a BSDE. In spite of the strategic interaction, we are able to apply a representative agent approach to obtain existence and uniqueness of the equilibrium market price of external risk. In the special case of entropic risk measures, we perform a parameter analysis. The third chapter provides a link between classical and pathwise Malliavin calculus. We define and analyze pathwise directional derivatives via perturbations with Cameron-Martin functions, (Hölder-)continuous functions, discontinuous functions and measures, thereby including both the traditional Malliavin derivative and the vertical derivative from Dupire’s work.
Sansing, Christopher. "Directional time-frequency analysis with applications." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/4484.
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (March 1, 2007) Vita. Includes bibliographical references.
Bielagk, Jana [Verfasser], Ulrich [Gutachter] Horst, Peter [Gutachter] Imkeller, and Traian [Gutachter] Pirvu. "Essays on Market Microstructure and Pathwise Directional Derivatives / Jana Bielagk ; Gutachter: Ulrich Horst, Peter Imkeller, Traian Pirvu." Berlin : Humboldt-Universität zu Berlin, 2018. http://d-nb.info/1185577939/34.
Serbichenko, Daria. "Modal analysis of time-dependent structures using Derictional Derivatives." Thesis, Ecole centrale de Nantes, 2019. http://www.theses.fr/2019ECDN0059.
In many industrial fields, modal analysis of structures is a primary key during the design. Finite Element Method is often used to identify both natural frequencies and shapes, offering quick and satisfactory answers in most cases. However, when a structure possesses a time-dependent geometry or if the structure is subjected to a crack propagation, the standards methods used can be constraining. They can also be CPU time consuming (due to remeshing, iterative solving of eigenvalue problems…), especially if one wants to track the evolution of the eigensolutions.In this research work, an original method is proposed to improve the management of finding the evolution of eigensolutions in case of time-dependent structures. This methology is based on the combination of directional derivatives and X-FEM. The directional derivatives allow to estimate the evolution of the eigensolutions between two configurations of the structure and X-FEM overcomes the constraints related to mesh generation of each configuration. Through specific developed criteria, the methodology has been tested for cases of plane and axisymmetric problems. The results obtained in comparison to the standard modal analyses and the conclusions that they can bring, highlight the advantages of the numerical tool that we proposed
Bangemann, Tim Richard. "Nonlinear finite element treatment of bifurcation in the post-buckling analysis of thin elastic plates and shells." Thesis, Brunel University, 1995. http://bura.brunel.ac.uk/handle/2438/6362.
Raihen, Nurul. "Convergence Rates for Hestenes' Gram-Schmidt Conjugate Direction Methodwithout Derivatives in Numerical Optimization." University of Toledo / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1494608232437057.
ALMEIDA, Arthur Gilzeph Farias. "Existência de soluções para uma classe de problemas elípticos com não linearidade descontínua." Universidade Federal de Campina Grande, 2013. http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/1389.
Made available in DSpace on 2018-08-08T20:21:22Z (GMT). No. of bitstreams: 1 ARTHUR GILZEPH FARIAS ALMEIDA - DISSERTAÇÃO PPGMAT 2013..pdf: 508810 bytes, checksum: 02ca89b269a1cb82e4ba0a5d102acff9 (MD5) Previous issue date: 2013-10
CNPq
Neste trabalho estudamos a existência de, pelo menos, três soluções distintas para dois problemas de inclusão diferencial. Para isto, faremos uso da teoria da análise convexa para funcionais localmente Lipschitz, bem como métodos variacionais.
In this work we study the existence of, at least, three distinct solutions to two problems of differential inclusion. For this, we use the theory of convex functional analysis Lipschitz locally, and variational methods.
Zoltan, Pap. "Projektivni postupci tipa konjugovanih gradijenata za rešavanje nelinearnih monotonih sistema velikih dimenzija." Phd thesis, Univerzitet u Novom Sadu, Prirodno-matematički fakultet u Novom Sadu, 2019. https://www.cris.uns.ac.rs/record.jsf?recordId=110614&source=NDLTD&language=en.
Projection based CG methods for solving large-scale nonlinear monotone systems are considered in this thesis. These methods combine hyperplane projection technique with conjugate gradient (CG) search directions. Hyperplane projection method is suitable for monotone systems, because it enables simply globalization, while CG directions are efficient for large-scale nonlinear systems, due to low memory. Projection based CG methods are funcion-value based, they don’t use merit function and derivatives, and because of that they are also suitable for solving nonsmooth monotone systems. The global convergence of these methods are ensured without additional regularity assumptions, so they can be used for solving singular systems.Three new three-term search directions of Fletcher-Reeves type and two new hybrid search directions of Hu-Storey type are defined. PCG algorithm with five new CG type directions is proposed and its global convergence is established. Numerical performances of methods are tested on relevant examples from literature. These results point out that new projection based CG methods have good computational performances. They are efficient, robust and competitive with other methods.
Portier, François. "Réduction de la dimension en régression." Phd thesis, Université Rennes 1, 2013. http://tel.archives-ouvertes.fr/tel-00871049.
Chowdhury, Monsur. "Optimal designs for maximum likelihood estimation and factorial structure design." 2016. http://hdl.handle.net/1993/31637.
October 2016
Terres, Maria Antonia. "Multivariate Spatial Process Gradients with Environmental Applications." Diss., 2014. http://hdl.handle.net/10161/8775.
Previous papers have elaborated formal gradient analysis for spatial processes, focusing on the distribution theory for directional derivatives associated with a response variable assumed to follow a Gaussian process model. In the current work, these ideas are extended to additionally accommodate one or more continuous covariate(s) whose directional derivatives are of interest and to relate the behavior of the directional derivatives of the response surface to those of the covariate surface(s). It is of interest to assess whether, in some sense, the gradients of the response follow those of the explanatory variable(s), thereby gaining insight into the local relationships between the variables. The joint Gaussian structure of the spatial random effects and associated directional derivatives allows for explicit distribution theory and, hence, kriging across the spatial region using multivariate normal theory. The gradient analysis is illustrated for bivariate and multivariate spatial models, non-Gaussian responses such as presence-absence and point patterns, and outlined for several additional spatial modeling frameworks that commonly arise in the literature. Working within a hierarchical modeling framework, posterior samples enable all gradient analyses to occur as post model fitting procedures.
Dissertation
Sathinarain, Melisha. "Numerical investigation of the parabolic mixed-derivative diffusion equation via alternating direction implicit methods." Thesis, 2013. http://hdl.handle.net/10539/13016.
In this dissertation, we investigate the parabolic mixed derivative diffusion equation modeling the viscous and viscoelastic effects in a non-Newtonian viscoelastic fluid. The model is analytically considered using Fourier and Laplace transformations. The main focus of the dissertation, however, is the implementation of the Peaceman-Rachford Alternating Direction Implicit method. The one-dimensional parabolic mixed derivative diffusion equation is extended to a two-dimensional analog. In order to do this, the two-dimensional analog is solved using a Crank-Nicholson method and implemented according to the Peaceman- Rachford ADI method. The behaviour of the solution of the viscoelastic fluid model is analysed by investigating the effects of inertia and diffusion as well as the viscous behaviour, subject to the viscosity and viscoelasticity parameters. The two-dimensional parabolic diffusion equation is then implemented with a high-order method to unveil more accurate solutions. An error analysis is executed to show the accuracy differences between the numerical solutions of the general ADI and high-order compact methods. Each of the methods implemented in this dissertation are investigated via the von-Neumann stability analysis to prove stability under certain conditions.
PTÁČNÍK, Jan. "Diferenciální počet funkce dvou proměnných." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-55161.
Dang, Duy Minh. "Modeling Multi-factor Financial Derivatives by a Partial Differential Equation Approach with Efficient Implementation on Graphics Processing Units." Thesis, 2012. http://hdl.handle.net/1807/42485.
Saab, Rabih. "Nonparametric estimation of the mixing distribution in mixed models with random intercepts and slopes." Thesis, 2013. http://hdl.handle.net/1828/4548.
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