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Dissertations / Theses on the topic 'Stochastic'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Abi, Jaber Eduardo. "Stochastic Invariance and Stochastic Volterra Equations." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED025/document.

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La présente thèse traite de la théorie des équations stochastiques en dimension finie. Dans la première partie, nous dérivons des conditions géométriques nécessaires et suffisantes sur les coefficients d’une équation différentielle stochastique pour l’existence d’une solution contrainte à rester dans un domaine fermé, sous de faibles conditions de régularité sur les coefficients.Dans la seconde partie, nous abordons des problèmes d’existence et d’unicité d’équations de Volterra stochastiques de type convolutif. Ces équations sont en général non-Markoviennes. Nous établissons leur correspondanc

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2

Yang, Weiye. "Stochastic analysis and stochastic PDEs on fractals." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb.

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Stochastic analysis on fractals is, as one might expect, a subfield of analysis on fractals. An intuitive starting point is to observe that on many fractals, one can define diffusion processes whose law is in some sense invariant with respect to the symmetries and self-similarities of the fractal. These can be interpreted as fractal-valued counterparts of standard Brownian motion on Rd. One can study these diffusions directly, for example by computing heat kernel and hitting time estimates. On the other hand, by associating the infinitesimal generator of the fractal-valued diffusion with the L

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3

Fei, Lin. "On a stochastic optimization technique : stochastic probing /." The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487777901661535.

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4

Ozkan, Pelin. "Analysis Of Stochastic And Non-stochastic Volatility Models." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605421/index.pdf.

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Changing in variance or volatility with time can be modeled as deterministic by using autoregressive conditional heteroscedastic (ARCH) type models, or as stochastic by using stochastic volatility (SV) models. This study compares these two kinds of models which are estimated on Turkish / USA exchange rate data. First, a GARCH(1,1) model is fitted to the data by using the package E-views and then a Bayesian estimation procedure is used for estimating an appropriate SV model with the help of Ox code. In order to compare these models, the LR test statistic calculated for non-nested hypotheses is

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5

Yakowitz, Diana Schadl. "Two-stage stochastic linear programming: Stochastic decomposition approaches." Diss., The University of Arizona, 1991. http://hdl.handle.net/10150/185342.

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Stochastic linear programming problems are linear programming problems for which one or more data elements are described by random variables. Two-stage stochastic linear programming problems are problems in which a first stage decision is made before the random variables are observed. A second stage, or recourse decision, which varies with these observations compensates for any deficiencies which result from the earlier decision. Many applications areas including water resources, industrial management, economics and finance lead to two-stage stochastic linear programs with recourse. In this di

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6

Kůdela, Jakub. "Advanced Decomposition Methods in Stochastic Convex Optimization." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-403864.

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Při práci s úlohami stochastického programování se často setkáváme s optimalizačními problémy, které jsou příliš rozsáhlé na to, aby byly zpracovány pomocí rutinních metod matematického programování. Nicméně, v některých případech mají tyto problémy vhodnou strukturu, umožňující použití specializovaných dekompozičních metod, které lze použít při řešení rozsáhlých optimalizačních problémů. Tato práce se zabývá dvěma třídami úloh stochastického programování, které mají speciální strukturu, a to dvoustupňovými stochastickými úlohami a úlohami s pravděpodobnostním omezením, a pokročilými dekompozi

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7

Andersson, Kristina. "Stochastic Volatility." Thesis, Uppsala University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121722.

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8

Huang, Chueng-Chiu S. "Stochastic scheduling." Diss., Georgia Institute of Technology, 1991. http://hdl.handle.net/1853/24834.

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9

Dean, David Stanley. "Stochastic dynamics." Thesis, University of Cambridge, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318048.

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10

Vedin, Robert. "Stochastic Resonance." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-193632.

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Noise is often viewed as something unfortunate and unavoidable, however with the development of Stochastic Resonance (SR) theory it has been shown to have beneficial effects in many non-linear systems. We have explored the SR phenomenon via numerical simulations of two such systems. The first one is a one-dimensional Brownian particle in a bi-stable potential and the second a simple model of a signal neuron both subject to a periodic input signal. We have investigated the system responses for different input signal frequencies and noise levels in order to determine both an optimal noise level

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11

Chugreeva, Olga [Verfasser], Christof Erich [Akademischer Betreuer] Melcher, and Maria Gabrielle [Akademischer Betreuer] Westdickenberg. "Stochastics meets applied analysis : stochastic Ginzburg-Landau vortices and stochastic Landau-Lifshitz-Gilbert equation / Olga Chugreeva ; Christof Erich Melcher, Maria Gabrielle Westdickenberg." Aachen : Universitätsbibliothek der RWTH Aachen, 2016. http://d-nb.info/1156922305/34.

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12

Jayawardena, Thusitha Senadirage. "Self-optimizing stochastic systems: Applications to stochastic shortest path problem, stochastic traveling salesman problem, and queueing systems." Diss., The University of Arizona, 1990. http://hdl.handle.net/10150/185025.

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We investigate stochastic systems which have a set of control parameters and a performance criterion. By operating the system at fixed control parameters, noisy performance values are observed. (The values are noisy due to the inherent stochastic nature of the system.) Certain relevant distributions of the system are assumed unavailable. The task is to develop algorithms that guide the system to optimal parameter settings based on its operating history. Consider the stochastic shortest path problem, where the time to traverse an edge is given by a random variable whose distribution is unavaila

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13

Archer, Sandra. "STOCHASTIC RESOURCE CONSTRAINED PROJECT SCHEDULING WITH STOCHASTIC TASK INSERTION PROBLEMS." Doctoral diss., University of Central Florida, 2008. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/3520.

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The area of focus for this research is the Stochastic Resource Constrained Project Scheduling Problem (SRCPSP) with Stochastic Task Insertion (STI). The STI problem is a specific form of the SRCPSP, which may be considered to be a cross between two types of problems in the general form: the Stochastic Project Scheduling Problem, and the Resource Constrained Project Scheduling Problem. The stochastic nature of this problem is in the occurrence/non-occurrence of tasks with deterministic duration. Researchers Selim (2002) and Grey (2007) laid the groundwork for the research on this problem. Selim

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Archer, Sandra. "Stochastic resource constrained project scheduling with stochastic task insertions problems." Orlando, Fla. : University of Central Florida, 2008. http://purl.fcla.edu/fcla/etd/CFE0002491.

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15

Li, Haijun. "Contributions to the theory of stochastic convexity and stochastic majorization." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/186817.

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This dissertation presents some contributions to the theory of stochastic convexity and stochastic majorization. In the first part of this dissertation, we develop an operator-analytic approach to study temporal stochastic convexity and concavity of Markov processes. We obtain sufficient and necessary conditions for the process {X(t),t ∊ S} which imply that the expectation Ef(X(t)) is a monotone convex (concave) function of t whenever f is a monotone convex (concave) function. Our operator-analytic approach is quite powerful, but not as intuitive as sample path approaches used in other works.

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16

Fox, Michael Jacob. "Stochastic self-assembly." Thesis, Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/34741.

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We present methods for distributed self-assembly that utilize simple rule-of-thumb control and communication schemes providing probabilistic performance guarantees. These methods represents a staunch departure from existing approaches that require more sophisticated control and communication, but provide deterministic guarantees. In particular, we show that even under severe communication restrictions, any assembly described by an acyclic weighted graph can be assembled with a rule set that is linear in the number of nodes contained in the desired assembly graph. We introduce the concept of st

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17

Ozkan, Erhun. "Stochastic Inventory Modelling." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/3/12612097/index.pdf.

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In this master thesis study, new inventory control mechanisms are developed for the repairables in Nedtrain. There is a multi-item, multi echelon system with a continuous review and one for one replenishment policy and there are different demand supply options in each control mechanism. There is an aggregate mean waiting time constraint in each local warehouse and the objective is to minimize the total system cost. The base stock levels in each warehouse are determined with an approximation method. Then different demand supply options are compared with each other.

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18

Prähofer, Michael. "Stochastic Surface Growth." Diss., lmu, 2003. http://nbn-resolving.de/urn:nbn:de:bvb:19-13818.

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19

Saygun, Yakup. "Computational Stochastic Morphogenesis." Thesis, Uppsala universitet, Avdelningen för beräkningsvetenskap, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-257096.

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Self-organizing patterns arise in a variety of ways in nature, the complex patterning observed on animal coats is such an example. It is already known that the mechanisms responsible for pattern formation starts at the developmental stage of an embryo. However, the actual process determining cell fate has been, and still is, unknown. The mathematical interest for pattern formation emerged from the theories formulated by the mathematician and computer scientist Alan Turing in 1952. He attempted to explain the mechanisms behind morphogenesis and how the process of spatial cell differentiation fr

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20

Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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21

Sanyal, Suman. "Stochastic dynamic equations." Diss., Rolla, Mo. : Missouri University of Science and Technology, 2008. http://scholarsmine.mst.edu/thesis/pdf/Sanyal_09007dcc80519030.pdf.

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Thesis (Ph. D.)--Missouri University of Science and Technology, 2008.<br>Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed August 21, 2008) Includes bibliographical references (p. 124-131).

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22

Bocharov, Boris. "Stochastic evolution inclusions." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/3772.

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This work is concerned with an evolution inclusion of a form, in a triple of spaces \V -> H -> V*", where U is a continuous non-decreasing process, M is a locally square-integrable martingale and the operators A (multi-valued) and B satisfy some monotonicity condition, a coercivity condition and a condition on growth in u. An existence and uniqueness theorem is proved for the solutions, using semi-implicit time-discretization schemes. Examples include evolution equations and inclusions driven by square integrable Levy martingales.

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23

Graham, B. T. "Interacting stochastic systems." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.599589.

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The Ising model was suggested by Lenz in 1920. It is a probabilistic model for ferromagnetism. Magnetization can then be explored as correlation between spin random variables on a graph. Bond percolation was introduced by Simon Broadbent and John Hammersley in 1957. It is a model for long range order. Edges of a lattice graph are declared open, independently, with some probability <i>p</i>, and clusters of open edges are studied. Both these models can be understood as aspects of the random-cluster model. In this thesis we study various aspects of mathematical statistical mechanics. In Chapter

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24

Rikoski, Richard J. (Richard James) 1976. "Delayed stochastic mapping." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/91338.

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25

Magureanu, Stefan. "Structured Stochastic Bandits." Licentiate thesis, KTH, Reglerteknik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-182816.

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In this thesis we address the multi-armed bandit (MAB) problem with stochastic rewards and correlated arms. Particularly, we investigate the case when the expected rewards are a Lipschitz function of the arm, and the learning to rank problem, as viewed from a MAB perspective. For the former, we derive a problem specific lower bound and propose both an asymptotically optimal algorithm (OSLB) and a (pareto)optimal, algorithm (POSLB). For the latter, we construct the regret lower bound and determine its closed form for some particular settings, as well as propose two asymptotically optimal algori

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26

Chen, Xiaoli. "Stochastic differential inclusions." Thesis, University of Edinburgh, 2006. http://hdl.handle.net/1842/13367.

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Stochastic differential inclusions (SDIs) on <i>R<sup>d </sup></i>have been investigated in this thesis, <i>dx</i>(<i>t</i>) Î <i>a</i>(<i>t, x(t)</i>)<i>dt </i>+ (<i>t, x (t)d</i> where <i>a</i> is a maximal monotone mapping, <i>b</i> is a Lipschitz continuous function, and <i>w</i> is a Wiener process. The principal aim of this work is to present some new results on solvability and approximations of SDIs. Two methods are adapted to obtain our results: the method of minimization and the method of implicit approximation. We interpret the method of monotonicity as a method of constructing min

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27

Mehmeti, Ardit. "Stochastic Inventory Management." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-101526.

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This bachelor thesis is about a stochastic inventory theory and how changes in different parameters affect the cost system. The inventory is based on a stochastic version of an economic quantity order (EOQ) model with planned shortages. For the deterministic EOQ-model with planned shortages there is a convenient formula for optimal order quantity $Q$ minimizing the cost per time unit. For the stochastic version an ($R$,$Q$)-policy is applied where $R$ is a reorder point such that if the inventory level is below $R$ and order is sent and the ordered products arrive after a lead time $L$. Since

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28

Cooke, Alexander. "Algorithmic Stochastic Music." Case Western Reserve University School of Graduate Studies / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=case1492096098674462.

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29

Cheng, Jianqiang. "Stochastic Combinatorial Optimization." Thesis, Paris 11, 2013. http://www.theses.fr/2013PA112261.

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Dans cette thèse, nous étudions trois types de problèmes stochastiques : les problèmes avec contraintes probabilistes, les problèmes distributionnellement robustes et les problèmes avec recours. Les difficultés des problèmes stochastiques sont essentiellement liées aux problèmes de convexité du domaine des solutions, et du calcul de l’espérance mathématique ou des probabilités qui nécessitent le calcul complexe d’intégrales multiples. A cause de ces difficultés majeures, nous avons résolu les problèmes étudiées à l’aide d’approximations efficaces.Nous avons étudié deux types de problèmes stoch

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30

Zgierski, Jack R. (Jack Robert) Carleton University Dissertation Computer Science. "On stochastic sorting." Ottawa, 1993.

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31

Gamst, Anthony Collins. "Stochastic burgers flows /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906479.

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32

Kammeyer, Thomas E. "Evolving stochastic grammars /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9907601.

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33

Smith, Aaron D. "Stochastic permanent breaks /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1999. http://wwwlib.umi.com/cr/ucsd/fullcit?p9938588.

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34

Deng, Hua. "Stochastic nonlinear stabilization /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3007140.

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35

Li, Le. "Online stochastic algorithms." Thesis, Angers, 2018. http://www.theses.fr/2018ANGE0031.

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Cette thèse travaille principalement sur trois sujets. Le premier concentre sur le clustering en ligne dans lequel nous présentons un nouvel algorithme stochastique adaptatif pour regrouper des ensembles de données en ligne. Cet algorithme repose sur l'approche quasi-bayésienne, avec une estimation dynamique (i.e., dépendant du temps) du nombre de clusters. Nous prouvons que cet algorithme atteint une borne de regret de l'ordre et que cette borne est asymptotiquement minimax sous la contrainte sur le nombre de clusters. Nous proposons aussi une implémentation par RJMCMC. Le deuxième sujet est

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36

Vacek, Vladislav. "Stochastické metody v řízení portfolia." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73894.

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From the beginning of 20th century many studies proved randomness in price evolution of investment instruments. Therefore models respecting this randomness must be used in portfolio management. This thesis' aim is to provide basic theory regarding some of the stochastic methods and show their practical use in real situations.

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37

Zeytun, Serkan. "Stochastic Volatility, A New Approach For Vasicek Model With Stochastic Volatility." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606561/index.pdf.

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In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The parameters of our model were estimated by using the method of moments. Finally, we tested th

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Yuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.

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This thesis presents the modeling of credit risk by using structural approach. Three fundamental questions of credit risk literature are analyzed throughout the research: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and in

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39

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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Novotný, Jan. "Modely stochastického programování a jejich aplikace." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2008. http://www.nusl.cz/ntk/nusl-228131.

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Diplomová práce se zabývá stochastickým programováním a jeho aplikací na problém mísení kameniva z oblasti stavebního inženýrství. Teoretická část práce je věnována odvození základních přístupů stochastického programování, tj. optimalizace se zohledněním náhodných vlivů v modelech. V aplikované části je prezentována tvorba vhodných optimalizačních modelů pro mísení kameniva, jejich implementace a výsledky. Práce zahrnuje původní aplikační výsledky docílené při řešení projektu GA ČR reg. čís. 103/08/1658 Pokročilá optimalizace návrhu složených betonových konstrukcí a teoretické výsledky projekt

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Ades, Michel. "Topics in stochastic systems, cumulative renewal processes, stochastic control and gradient estimation." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq44336.pdf.

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Uhl, Matthias [Verfasser], and Udo [Akademischer Betreuer] Seifert. "Stochastic thermodynamics : from hydrodynamics to stochastic inference / Matthias Uhl ; Betreuer: Udo Seifert." Stuttgart : Universitätsbibliothek der Universität Stuttgart, 2021. http://d-nb.info/1233681400/34.

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Hashemi, Fatemeh Sadat. "Sampling Controlled Stochastic Recursions: Applications to Simulation Optimization and Stochastic Root Finding." Diss., Virginia Tech, 2015. http://hdl.handle.net/10919/76740.

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We consider unconstrained Simulation Optimization (SO) problems, that is, optimization problems where the underlying objective function is unknown but can be estimated at any chosen point by repeatedly executing a Monte Carlo (stochastic) simulation. SO, introduced more than six decades ago through the seminal work of Robbins and Monro (and later by Kiefer and Wolfowitz), has recently generated much attention. Such interest is primarily because of SOs flexibility, allowing the implicit specification of functions within the optimization problem, thereby providing the ability to embed virtually

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Karam, Christina Maria. "Stochastic Bilateral Filter and Stochastic Non-local Means for High-dimensional Images." University of Dayton / OhioLINK, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=dayton1429728892.

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Bachouch, Achref. "Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs." Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1034/document.

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L’objectif de cette thèse est l’étude d’un schéma numérique pour l’approximation des solutions d’équations différentielles doublement stochastiques rétrogrades (EDDSR). Durant les deux dernières décennies, plusieurs méthodes ont été proposées afin de permettre la résolution numérique des équations différentielles stochastiques rétrogrades standards. Dans cette thèse, on propose une extension de l’une de ces méthodes au cas doublement stochastique. Notre méthode numérique nous permet d’attaquer une large gamme d’équations aux dérivées partielles stochastiques (EDPS) nonlinéaires. Ceci est possi

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Lowe, Wing Wah. "An exploration of stochastic decomposition algorithms for stochastic linear programs with recourse." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/186667.

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Stochastic linear programs are linear programs in which some of the problem data are random variables. The particular kind of programs that we study belong to the recourse model. Under this model, some decisions are postponed until better information becomes available (e.g., an outcome of a random variable is realized), while other decisions must be made 'here and now.' For example, in a telecommunication network planning problem, decisions regarding the addition of network capacity have to be made before knowing customer demand (i.e., 'here and now'). Once the demand is realized, efficient us

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Schmitz, Volker. "Copulas and stochastic processes." [S.l.] : [s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=972691669.

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48

Binotto, Giulia. "Contributions to stochastic analysis." Doctoral thesis, Universitat de Barcelona, 2018. http://hdl.handle.net/10803/565571.

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The aim of this dissertation is to present some new results on stochastic analysis. It consists on three works that deal with two Gaussian processes: the Brownian motion and the fractional Brownian motion with Hurst parameter H less than 1/2. In the first work we construct a family of processes, from a single Poisson process and a sequence of independent random variables with common Bernoulli distribution, that converges in law to a complex Brownian motion. We find realizations of these processes that converge almost surely to the complex Brownian motion, uniformly on the unit time interval

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Gassmann, Horand Ingo. "Multi-period stochastic programming." Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/27304.

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This dissertation presents various aspects of the solution of the linear multi-period stochastic programming problem. Under relatively mild assumptions on the structure of the random variables present in the problem, the value function at every time stage is shown to be jointly convex in the history of the process, namely the random variables observed so far as well as the decisions taken up to that point. Convexity enables the construction of both upper and lower bounds on the value of the entire problem by suitable discretization of the random variables. These bounds are developed in Chapte

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Zangeneh, Bijan Z. "Semilinear stochastic evolution equations." Thesis, University of British Columbia, 1990. http://hdl.handle.net/2429/31117.

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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 measur

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