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Klimešová, Marie. "Stochastický kalkulus a jeho aplikace v biomedicínské praxi." Doctoral thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2019. http://www.nusl.cz/ntk/nusl-409091.
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V předložené práci je definována stochastická diferenciální rovnice a jsou uvedeny její základní vlastnosti. Stochastické diferenciální rovnice se používají k popisu fyzikálních jevů, které jsou ovlivněny i náhodnými vlivy. Řešením stochastického modelu je náhodný proces. Cílem analýzy náhodných procesů je konstrukce vhodného modelu, který umožní porozumět mechanismům, na jejichž základech jsou generována sledovaná data. Znalost modelu také umožňuje předvídání budoucnosti a je tak možné kontrolovat a optimalizovat činnost daného systému. V práci je nejdříve definován pravděpodobnostní prostor a Wienerův proces. Na tomto základě je definována stochastická diferenciální rovnice a jsou uvedeny její základní vlastnosti. Závěrečná část práce obsahuje příklad ilustrující použití stochastických diferenciálních rovnic v praxi.
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Reif, Luděk. "Systém řízení zásob." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-232052.
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My thesis involves in characteristics and implementation of inventory management system. Theoretical part contains particular systems, both deterministic and stochastic. Several examples are used for implementation, which are then algorithmized. Trivial equations are used in deterministic systems. In stochastic systems I used an element of randomness, which is simulated by pseudo random number generator. The result is a complex computer program, in which there is possible to evaluate all models mentioned here, with their own input values. The program then yields both numerical values and graphical output.
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Kobulnická, Ivana. "Stochastické metódy v riadení portfólia." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359285.
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This master thesis aims to describe and apply in practice solutions of basic tasks in portfolio management- portfolio optimization, portfolio modelling and risk management. As value of financial assets in future is a random variable, it is necessary to use mathematic tools resulting from probability theory and statistics. Basic terms from this area are for example stochastic Wiener process or geometric Brownian motion, which are described in first part of this thesis. Next parts of thesis describe the Markowitz model or method Value at Risk. In the last part of thesis is application of calculation VaR using Monte Carlo simulation for stock portfolio constructed as optimal portfolio according to Markowitz model from real data.
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Horský, Richard. "Nezáporné lineární operátory a jejich využití v ekonometrických a statistických modelech." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-201117.
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Non-negative operators, in special case non-negative matrices, are an interesting topics for many scientists and scientific teams from the beginning of the 20th century. It is not suprising because there are a lot of applications in different areas of science like economy, statistics, linear programming, computer science and others. We can give as the particular example the theory of the Markov chains in which we deal with non-negative matrices, so called transition matrices. They are of the special form and we called them stochastic matrices. Another example is given by the non-negative operator on spaces of infinite dimension which is employed in the theory of stochastic processes. It is the backward shift operator called the lag operator as well. The non-negativity in these examples is considered as the piecewise non-negativity. Another type of non-negativity is that in the sense of inner products. In the case of matrices we talk about positive-definite or positive-semidefinite matrices. A typical example is the covariance matrix of a random vector or symmetrization of any linear operator, for instance the symmetrization of the difference operator. The terms inverse problem or ill-posed problem have been gaining popularity in modern science since the middle of the last century. The subjects of the first publications in this area were related to quantum scattering theory, geophysics, astronomy and others. Thanks to powerful computers the chances for applications of the theory of inverse and ill-posed problems has extended in almost all fields of science which use mathematical methods. Ill-posed problems bear the feature of instability and there is the need of regularization if we want to get some reasonable solution. A typical example of the regularization is the differencing of stochastic process with the purpose to obtain a stationary process. Another concept of regularization used for solving e.g. integral equations with compact operators consists in application of regularization method as truncated singular value decomposition, Tichonov regularization method or Landweber iteration method. Mathematical tools employed in this work are those of the functional analysis. It is the area of mathematics in which distinct mathematical structures meet each other. They are structures built within different mathematical disciplines as mathematical analysis, topology, theory of sets, algebra (mainly linear algebra) and theory of measure (probability). The functional analysis framework enables us to obtain right formulations of definitions and problems providing the general view on the notions and problems of the theory of stochastic processes.
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Pohl, Jan. "Algoritmus s pravděpodobnostním směrovým vektorem." Doctoral thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2015. http://www.nusl.cz/ntk/nusl-233694.
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This disertation presents optimization algorithm with probability direction vector. This algorithm, in its basic form, belongs to category of stochastic optimization algorithms. It uses statistically effected perturbation of individual through state space. This work also represents modification of basic idea to the form of swarm optimization algoritm. This approach contains form of stochastic cooperation. This is one of the new ideas of this algorithm. Population of individuals cooperates only through modification of probability direction vector and not directly. Statistical tests are used to compare resultes of designed algorithms with commonly used algorithms Simulated Annealing and SOMA. This part of disertation also presents experimental data from other optimization problems. Disertation ends with chapter which seeks optimal set of control variables for each designed algorithm.
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Kubík, Pavel. "Měření intenzity provozu během pevně daných intervalů v AP." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2011. http://www.nusl.cz/ntk/nusl-218833.
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The thesis analyzes the network traffic on a router with open source firmware. First is chosen a software platform, based on compatibility with available equipment. Then are assessed properties necessary for the development of custom applications. Support for various programming languages provided by the SDK, development environment and the available modules and libraries, for working with network interface. Based on these factors is then chose method to realize the program. He is implemented on the OpenWRT firmware in C / C + + using network library pcap. These funds are used to capture and analyze network traffic. Obtained data are processed using methods of technical analysis, namely on the basis of moving averages, Stochastic oscillator and Bollinger bands. Based on results of these methods are generated and verified estimates of traffic. They are based on linear extrapolation, simplified for fixed intervals. The validity of each method is verified on base of the estimated value. Method is verified if estimated value of the traffic volume is in the Bollinger band, which is given by the standard deviation. Each method is tested several times in real traffic with different input parameters. Then is evaluated the influence of parameters on the error rate of methods. Individual methods are compared and evaluated based on the behavior in different scenarios and based on the average relative error.
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Trávníček, Jan. "Tvorba spolehlivostních modelů pro pokročilé číslicové systémy." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2013. http://www.nusl.cz/ntk/nusl-236226.
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This thesis deals with the systems reliability. At First, there is discussed the concept of reliability itself and its indicators, which can specifically express reliability. The second chapter describes the different kinds of reliability models for simple and complex systems. It further describes the basic methods for construction of reliability models. The fourth chapter is devoted to a very important Markov models. Markov models are very powerful and complex model for calculating the reliability of advanced systems. Their suitability is explained here for recovered systems, which may contain absorption states. The next chapter describes the standby redundancy. Discusses the advantages and disadvantages of static, dynamic and hybrid standby. There is described the influence of different load levels on the service life. The sixth chapter is devoted to the implementation, description of the application and description of the input file in XML format. There are discussed the results obtaining in experimental calculations.
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Gawthorpe, Kateřina. "COMPETING CURRENCIES AS AN ALTERNATIVE SCENARIO TO LEGAL TENDER CLAUSE: MATHEMATICAL PROOF." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-197885.
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Previous literature examining the scenario without the constraint of legal tender law is a rather theoretical analysis of the subject matter. Aside from the theoretical examination of the competition of money this paper offers dynamic structural macroeconomic model based on the money in the utility function. This model compares the current monetary conditions with the potential situation permitting more currencies circulating alongside. The main assumption about individuals' preferences over stable currencies underlines the whole paper with emphasis on the mathematical model. The uniqueness of this model lies in the incorporation of variables affecting respective money demand functions into the utility function of the DSGE model and in the purpose of its use as well as its variables, where representative agent is a household owning a bank rather than a firm. Overall the results of this paper favor the idea of exclusion of the legal tender law in a developed country without severe turmoil. Particularly, the ascent of competition among currencies leads to lower inflation than present scenario. However, final simulations of the model in Matlab supplements such so far "unambiguous" view with skepticism due to possible difficulties during discovery process in such scenario.
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Novotný, Bohumil. "Multiplatformní komunikace v přístupových sítích." Doctoral thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2017. http://www.nusl.cz/ntk/nusl-364613.
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Doctoral thesis deals with failure detection methods in wireless access network using distributed stochastic algorithms. A new method of detecting a fault based on the push-sum algorithm has been designed and simulated. Within the scope of the work objectives, the statistical credibility of the average push-sum protocol convergence rate representative and the effect of message loss during the calculation on the robustness of the system using this protocol were compared. Based on the acquired knowledge, the ability of the protocol to mathematically derive deviations from the real average of the values in the specified topology was demonstrated and thereby the existence of an abnormality in the network has been proved or refuted.
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Houdek, Ondřej. "Garantované investiční fondy." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124882.
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This thesis is mainly focused on pricing securities of selected capital protected funds. In its theoretical part, there are summarized approaches and principals that are generally used for derivatives pricing because capital protected funds' securities contain embedded options. Emphasis is put on risk-neutral pricing using Monte Carlo simulation at that point because complicated pay-off functions of these funds are hard to be evaluated analytically. There are also presented main approaches to constructions and portfolio management of these funds from their portfolio manager's viewpoint. Finally, there is made an overview of basic types of capital protected funds issued both in The Czech republic and Europe. Analytical part is focused on evaluation of selected capital protected funds. There is applied a standard approach that is based on a simulation of Geometric Brownian Motion with constant conditional variance and correlation in contrast with an advanced approach where the conditional variance and conditional correlation matrix are simulated as well. That is accomplished with GARCH-in-mean and DCC-GARCH models. Estimated prices are compared with real market prices and there is also performance of the standard models compared with performance of advanced ones.
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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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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 projektu MŠMT České republiky čís. 1M06047 Centrum pro jakost a spolehlivost výroby.
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Krivda, Marian. "Zobrazení kulečníku pomocí distribuovaného sledování paprsku." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2009. http://www.nusl.cz/ntk/nusl-236657.
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This thesis is concerned in the method of realistic rendering using a distributed raytracing. This method simulates various visual effects and generates high realistic 2D images. The work analyses the problem and explains principles of solution related to this technique. There is also descriprion of the method of simple reytracing which provides a basis for the distributed raytracing. A part of work is specialized for optimalization of distributed raytracing.
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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 dekompozičními metodami, které lze použít k řešení problému v těchto dvou třídách. V práci popisujeme novou metodu pro tvorbu “warm-start” řezů pro metodu zvanou “Generalized Benders Decomposition”, která se používá při řešení dvoustupňových stochastických problémů. Pro třídu úloh s pravděpodobnostním omezením zde uvádíme originální dekompoziční metodu, kterou jsme nazvali “Pool & Discard algoritmus”. Užitečnost popsaných dekompozičních metod je ukázána na několika příkladech a inženýrských aplikacích.
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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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Šťastná, Andrea. "Analýza životaschopnosti ohrožených druhů zvířat v České republice." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359250.
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Diploma thesis analyzes the viability of the selected species populations in the Czech Republic. The thesis is divided into two main parts. The first part contains a stochastic model simulating possible scenarios of the Eurasian lynx population size in the Czech Republic. For this model program Vortex was used. The second part is focused on Time series analysis of the Grey Partridge and the Common Kingfisher population, where data was obtained from the Czech Society for Ornithology. This analysis aims on identification of factors that may affect the viability of the two bird species.
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Duben, Josef. "Oceňování opcí se stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-72010.
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The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with the reasons that led to the development of stochastic volatility models. SABR model and Heston model are described in detail. These models are then applied to equity options in the times of high volatility. The models and their application are then evaluated.
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Červenka, Daniel. "Aplikace metod optimalizace zásob v dodavatelských řetězcích." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-150222.
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As in the stock of trading business is allocated a large part of the capital resources, it is necessary to determine the manner of their control. For this purpose a number of models were developed. Before application to the specific case, these models must be properly adjusted to ensure conformity with reality. The aim of this thesis is to optimize the inventory management of electronic commerce. The stochastic model with loss from unfulfilled orders was chosen as default. First, the necessary adjustments were made to the model and defined input parameters. After filling model with real data, the optimum values of the monitored variables were obtained. The last part deals with the influence of changes in input parameters on the optimal value of variables. Use of the model is not limited to this particular case. Without major modifications, the model is also applicable to other similar problems.
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Šandera, Čeněk. "Heuristické algoritmy pro optimalizaci." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2008. http://www.nusl.cz/ntk/nusl-228326.
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Práce se zabývá určením pravděpodobnostních rozdělení pro stochastické programování, při kterém jsou optimální hodnoty účelové funkce extrémní (minimální nebo maximální). Rozdělení se určuje pomocí heuristických metod, konkrétně pomocí genetických algoritmů, kde celá populace aproximuje hledané rozdělení. První kapitoly popisují obecně matematické a stochastické programování a dále jsou popsány různé heuristické metody a s důrazem na genetické algoritmy. Těžiště práce je v naprogramování daného algoritmu a otestování na úlohách lineárních a kvadratických stochastických modelů.
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Kozel, Tomáš. "Stochastické řízení zásobní funkce nádrže s pomocí metod umělé inteligence." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2018. http://www.nusl.cz/ntk/nusl-390282.
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The main advantage of stochastic forecasting is fan of possible value, which deterministic method of forecasting could not give us. Future development of random process is described better by stochastic then deterministic forecasting. We can categorize discharge in measurement profile as random process. Stochastic management is worked with dispersion of controlling discharge value. In thesis is described construction and evaluation of adaptive stochastic model base on fuzzy logic, neural networks and evolution algorithm, which are used stochastic forecast from forecasting models described in thesis. The learning fuzzy model and neural network is used as replacement of classic optimization algorithm (evolution algorithm). Model was tested and validated on made up large open water reservoir. Results were evaluated and were compared with model base on traditional algorithms, which was used for 100% forecast (forecasted values are real values). The management of the large open water reservoir with storage function, which was given by stochastic adaptive managing, was logical. The main advantage of fuzzy model and neural network model is computing speed. Classical optimization model is needed much more time for same calculation as fuzzy and neural network model, therefore classic model used clusters for stochastic calculation.
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Hakala, Michal. "Modely úrokových měr - praktické aspekty." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359256.
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Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.
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Bartoň, Ľuboš. "Oceňovanie opcií so stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77823.
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This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the Black-Scholes model is derived and then its biases are discussed. We explain shortly the concept of volatility. Further, we introduce three pricing models with stochastic volatility- Hull-White model, Heston model and Stein-Stein model. At the end, these models are reviewed.
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Šigut, Jiří. "Modely oceňování opcí se stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-150113.
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This work describes stochastic volatility models and application of such models for option pricing. Models for underlying asset and then pricing models for options with stochastic volatility are derived. Black-Scholes and Heston-Nandi models are compared in empirical part of this work.
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Jelínek, Martin. "Analýza neutronového pole laboratorního AmBe zdroje s využitím měřícího stendu." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2017. http://www.nusl.cz/ntk/nusl-316943.
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This master’s thesis provides a comprehensive overview of the conventional neutron sources from the perspective of reactions which lead to the production of neutrons, advantages, disadvantages, properties and their possible utilization. In the relation to the assembly of the laboratory neutron source and the unique experimental stand “Candle” basic methods of the neutron field analysis are outlined and two of them, the neutron activation analysis and the calculation using the MCNP software code are discussed in depth to apply and compare these methods. The experimental part deals with the realization of neutron activation analysis from its design itself, through gamma spectrometry to the cadmium ratio calculation. In compliance with the measurements, a calculation with MCNP code was run and both methods were evaluated and compared. The computation is complemented with the analysis of radiation situation on the borders of the supervised area, which is compared to the legal limit.
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Budiský, Jakub. "Fast Generator of Network Flows." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2016. http://www.nusl.cz/ntk/nusl-255434.
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Tato diplomová práce se věnuje analýze existujících řešení pro generování síťového provozu určeného k testování síťových komponent. Zaměřuje se na generátory na úrovni IP síťových toků a pokrývá návrh a implementaci generátoru, zvaného FLOR, schopného vytvářet syntetický síťový provoz rychlostí až několik desítek gigabitů za sekundu. K plánování toků využívá náhodného procesu. Vytvořená aplikace je otestována a porovnána s existujícími nástroji. V závěru jsou navrženy další vylepšení a optimalizace.
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Scigel, Pavel. "Analýza vztahu makroekonomických ukazatelů a hospodářských výsledků firmy." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-162588.
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The Czech Republic's economic performance is measurable by some macroeconomic indicators which have made variable progress in recent years. Based on general economic conditions, economic development has impacted upon economic results of companies. Over time their progress is recorded by economic time series, which describe it. Through the agency of economic time series, economic development and mutual dependences among indicators can be researched. This problem can be solved by applying the methodology which helps describe and quantify relations among quantities. For the purpose of expression of a single time series, stochastic linear modelling is used, and for quantifying the strength of relation among time series, regression analyses and Granger causality testing are used.
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Hernová, Zuzana. "Využití simulačních modelů při analýze rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-198440.
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Optimization is used in daily practice with fixed input quantities and assuming constancy of all internal and external factors that may affect the results. But the reality that surrounds us is not so straightforward and clear. It is a complex and variable system. We learn new information about it every moment and it changes and evolves constantly. If the variability is included in the optimization model, it will change from the deterministic to stochastic model. Simulation offers a way how to work with the variability of inputs and the risk that the future development will be different from the assumptions. It uses probability distributions of entering risk factors. The most frequent method is Monte Carlo simulation, which is based on the generation of large amount of scenarios of possible future developments. Crystal Ball was used as simulation software program.
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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 correspondance avec des équations en dimension infinie ce qui nous permet de les approximer par des équations différentielles stochastiques Markoviennes en dimension finie.Enfin, nous illustrons nos résultats par une application en finance mathématique, à savoir la modélisation de la volatilité rugueuse. En particulier, nous proposons un modèle à volatilité stochastique assurant un bon compromis entre flexibilité et tractabilitéThe present thesis deals with the theory of finite dimensional stochastic equations.In the first part, we derive necessary and sufficient geometric conditions on the coefficients of a stochastic differential equation for the existence of a constrained solution, under weak regularity on the coefficients. In the second part, we tackle existence and uniqueness problems of stochastic Volterra equations of convolution type. These equations are in general non-Markovian. We establish their correspondence with infinite dimensional equations which allows us to approximate them by finite dimensional stochastic differential equations of Markovian type. Finally, we illustrate our findings with an application to mathematical finance, namely rough volatility modeling. We design a stochastic volatility model with an appealing trade-off between flexibility and tractability
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Hronová, Lucie. "Stochastické přístupy k modelování rezerv na pojistná plnění." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124865.
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The subject matter of this master thesis is the introduction to the claims reserving methodology applied in the general insurance with the focus on the agragated data represented in the form of triangle schemes. First the basic deterministic methods are to be presented including the Chain ladder method as the most known and widely used tool in claims reserving. Next we will concentrate on the stochastic approaches. The method of bootstrapping is to be described more in detail as it is the main topic of this thesis. Finally the accuracy of the prediction of several specific models and algorithms is to be examined with the goal of their overall comparison (using randomly generated input data).
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Orgoník, Svetoslav. "Stochastické modelování datových souborů." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-229729.
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Master's thesis is focused on implementing modern statistical methods for fitting propability distribution using kernel estimates with regard to the possibilities of their implementation on the PC and the application of specic data sets. Master's thesis is a part of project from MSMT of the Czech Republic no. 1M06047 Center for Quality and Reliability of Production.
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Bahník, Michal. "Stochastické obyčejné diferenciálni rovnice." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-232074.
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Diplomová práce se zabývá problematikou obyčejných stochastických diferenciálních rovnic. Po souhrnu teorie stochastických procesů, zejména tzv. Brownova pohybu je zaveden stochastický Itôův integrál, diferenciál a tzv. Itôova formule. Poté je definováno řešení počáteční úlohy stochastické diferenciální rovnice a uvedena věta o existenci a jednoznačnosti řešení. Pro případ lineární rovnice je odvozen tvar řešení a rovnice pro jeho střední hodnotu a rozptzyl. Závěr tvoří rozbor vybraných rovnic.
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Kříž, Pavel. "Stochastické modely plánování produkce." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-2726.
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Při plánování produkce se často můžeme setkat s nejistotou ohledně velikosti budoucí poptávky. Potom nezbývá než modelovat poptávku jako náhodnou veličinu, čímž se však modely plánování produkce stávají úlohami stochastického programování. Cílem této práce je pak prostudovat jednotlivé koncepty stochastického programování a aplikovat je na modely plánování produkce. Pozornost bude přitom věnována jak rozhodováním za rizika, kdy přesně známe rozdělení pravděpodobnosti náhodných parametrů, tak také rozhodováním za neurčitosti, kdy máme o těchto rozděleních jen částečnou informaci. Na závěr budou jednotlivé postupy demonstrovány na numerickém příkladu.
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Žďárek, Václav. "A Theoretical and Empirical Analysis of the Process of Nominal Convergence in Transition Countries with a Particular Emphasis on the Czech Economy." Doctoral thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165919.
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This PhD thesis aims at exploring price convergence in the European Union with a particular emphasis paid to the Czech Republic and new EU member states. Fundamental issues are discussed in the first chapter, starting with the notion and term `convergence' since many alternative definitions have been proposed in the literature. Apart from that, main indicators utilized when investigating price convergence are defined (for example purchasing power parity/purchasing power standard, PPP/PPS, comparative price level, CPL) and a brief review of the literature is added. The second chapter deals with several issues accompanying price convergence in general and in transforming countries in particular such as the club convergence hypothesis, issues of tradability, availability of datasets and their strenghts and weaknesses, the link between price levels and rates of inflation, and determinants. Both `standard' and `modern' approaches are utilized in the last chapter so that several hypotheses can be verified. For the sake of comparability, individual CPLs for EU-27 countries for the period 1995(9)-2011 are employed. Firstly, stylised facts for both old EU and NMS are presented (including effects stemming from the on-going financial crisis). Secondly, the club convergence hypothesis is examined with help of two different ways - cluster analysis and the Phillips-Sul test (both for the EU and its `subgroups'). Both of them do confirm the existence of convergence clubs in the EU (including its old and new part). Following the previous findings, a somewhat broader and richer view on price level dynamics is supplemented via utilization of the so-called Stochastic kernel (Quah, 1993). This methodology shows both convergence and divergence (divergence/polarization/stratification) in the EU. Finally, the last section of this chapter is focused on a thorough search for determinants of price levels in the EU. The Bayesian approach is employed (Bayesian model averaging, BMA) and our results confirm both the importance of both `traditional' determinants such as labour costs and output gap and new ones such as broadly defined institutional factors. Main findings of this thesis are summarized and commented in the conclusion aiming at providing implications for policymakers and some guidance for future research.
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Erben, Vojtěch. "Návrh a testování stochastické navigace v TRASI." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2013. http://www.nusl.cz/ntk/nusl-219900.
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The thesis deals with the design and implementation of routing algorithms in trafic simulator TRASI. These algorithms are capable of planning vehicle's route by giving a set of crossroads that vehicle needs to go through. Furthermore, this work deals with design and implementation of stochastic navigation including implementation of communication between vehicles. Stochastic navigation suggests several alternative routes based on a traffic event. From these routes is randomly (stochastically) choosen one based on information about the throughput of particular found routes. In the introduction of this work is described the traffic simulator TRASI, it's user interface and basic control interface. Further is described theory of traffic flow on macroscopic and microscopic level, followed by the descripion of algorithms for oriented graphs traversal and their implementation in the simulator. In the following parts of this thesis is described communication layer, that takes care of the communication between vehicles, and it's implementation. Further is described design and implementation of stochastic navigation. In the final chapter is done verification of the functionality of the simulator and tests of particular routing algorithms.
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Benáčková, Jana. "Modelování energetického zdroje a plánování jeho provozu s využitím pokročilých matematických metod." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-229823.
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This master's thesis deals with the proposal of the cost-effective biomass and coal combustion concept for a real generation plant. The optimization of the current fuel basis exploitation and annual operation scheduling was the main goal. Applying the regression analysis and stochastic programming the mathematical model was constructed based on the operating data. The overall energy source model was implemented to the concept of the optimal operation scheduling considering the economic aspects. The fuel utilization and energy production planning are the main applications of this design.
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Schwarz, Ondřej. "Vybrané optimalizační modely pro redukci rizik v letecké přepravě." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-233167.
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The diploma thesis deals with mathematical modeling of the situation when due to the increased risks occurring around Europe there is a need of immediate transport of Czech citizens back to the Czech Republic. The model takes into account the general level of random fluctuations in demand and transportation costs. The optimization model is then built on the ideas of stochastic programming and includes real and expert data in the field of air transportation, which are later implemented into GAMS. The results are discussed. The survey part of the diploma thesis is devoted to the possibility of applying linear and stochastic programming, the interpretation of the mathematical transportation theory. It describes the basic tools and development environment and the realization of mathematical model based on real data in GAMS. The second part of the thesis deals with a proposal of possible improvements in aviation by applying the real data into the model and by analyzing the obtained results.
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Sládková, Ivana. "Modelování projektů se stochastickou cyklickou strukturou." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-17283.
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The Presented Thesis is focused on exploitation of stochastic cyclical networks in project management during project planning. Particularly, it is focused on the GERT method, which enables to carry out both the probability analysis and the time analysis of projects with stochastic structure. We deal primarily with analysis of such networks where cyclical activities occur. As an integral part of the Thesis, derivation of simplified computing procedures for cyclical activities is included. We extend the possibilities of the GERT method with stochastic evaluation of time duration of activities using the fuzzy GERT method. This fuzzy GERT method is applied on the real project and its results are compared to results of Monte Carlo simulation.
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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 Laplacian on Rd, it is possible to pose stochastic partial differential equations on the fractal such as the stochastic heat equation and stochastic wave equation. In this thesis we investigate a variety of questions concerning the properties of diffusions on fractals and the parabolic and hyperbolic SPDEs associated with them. Key results include an extension of Kolmogorov's continuity theorem to stochastic processes indexed by fractals, and existence and uniqueness of solutions to parabolic SPDEs on fractals with Lipschitz data.
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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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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 obtained.
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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 dissertation, two algorithms for solving stochastic linear programming problems with recourse are developed and tested. The first is referred to as Quadratic Stochastic Decomposition (QSD). This algorithm is an enhanced version of the Stochastic Decomposition (SD) algorithm of Higle and Sen (1988). The enhancements were designed to increase the computational efficiency of the SD algorithm by introducing a quadratic proximal term in the master program objective function and altering the manner in which the recourse function approximations are updated. We show that every accumulation point of an easily identifiable subsequence of points generated by the algorithm are optimal solutions to the stochastic program with probability 1. The various combinations of the enhancements are empirically investigated in a computational experiment using operations research problems from the literature. The second algorithm is an SD based algorithm for solving a stochastic linear program in which the recourse problem appears in the constraint set. This algorithm involves the use of an exact penalty function in the master program. We find that under certain conditions every accumulation point of a sequence of points generated by the algorithm is an optimal solution to the recourse constrained stochastic program, with probability 1. This algorithm is tested on several operations research problems.
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Hrabec, Dušan. "Modely stochastického programování pro inženýrský návrh." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-229882.
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Stochastické programování a optimalizace jsou velmi užitečné nástroje pro řešení široké škály inženýrských úloh zahrnujících neurčitost. Diplomová práce se zabývá stochastickým programováním a jeho aplikací při řešení logistických úloh. Teoretická část práce je věnována jak základním pojmům z teorie grafů, tak pojmům souvisejících s matematickým, lineárním, celočíselným a stochastickým programováním. Pozornost je věnována také návaznosti zmíněných pojmů na logistiku. Druhá část se zabývá tvorbou vlastních úloh prezentujících stochastické logistické modely, jejich implementací a výsledky.
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Filip, Sebastián. "Řešení problému kanadského cestujícího." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2017. http://www.nusl.cz/ntk/nusl-320101.
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This thesis deals with Canadian traveller problem (CTP), which can be defined as the shortest path problem in a stochastic environment. The overview of different CTP variants is presented in theoretical part of this thesis, as well as known solutions to these variants. In the next parts, the thesis focuses on the stochastic variation of CTP (SCTP). For this variant chosen solutions (strategies) are discussed more in depth. At the same time, the original strategies named UCTO and UCTP are presented. Further, the thesis deals with the description of a window application implemented in Java, which has been developed to validate and test the functionality of selected strategies. The final part contains experiments and comparison of selected strategies.
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Čamaj, Matej. "Market Making Trading Strategy." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-201945.
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The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Voříšek, Jan. "Stochastický model katastrof cusp." Doctoral thesis, 2017. http://www.nusl.cz/ntk/nusl-368485.
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Title: Stochastic Catastrophe Model Cusp Author: Jan Voříšek Department: Department of Probability and Mathematical Statistics Supervisor: Prof. Ing. Miloslav Vošvrda, CSc., Czech Academy of Sciences, Institute of Information Theory and Automation Abstract: The goal of this thesis is to analyze the stochastic cusp model. This task is divided into two main topics. The first of them concentrates on the stationary density of the cusp model and statistical testing of its bimodality, where power and size of the proposed tests are simulated and compared with the dip test of unimodality. The second main topic deals with the transition density of the stochastic cusp model. Comparison of approximate maximum likelihood approach with traditional finite difference and numerical simulations indicates its advantage in terms of speed of estimation. An approximate Fisher information matrix of general stochastic process is derived. An application of the cusp model to the exchange rate with time-varying parameters is estimated, the extension of the cusp model into stochastic bimodality model is proposed, and the measure of probability of intrinsic crash of the cusp model is suggested. Keywords: stochastic cusp model, bimodality testing, transition density ap- proximation
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Voldán, Adam. "Itôův a Stratonovičův stochastický integrál." Master's thesis, 2009. http://www.nusl.cz/ntk/nusl-295492.
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In this thesis the Ito stochastic integral and the Stratonovich stochastic integrals are studied. Their basic and some special properties are shown. Further the theory of the numerical solution of stochastic differential equations (SDE) is introduced. Using simple examples the properties of chosen numerical schemes are presented. Finally the Black-Scholes-Merton formula for pricing of European call option is sketched, and similar problems are numerically solved using the above presented algorithms.
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Janíková, Veronika. "Stochastický optimalizační model pro efektivní využití vodní energie." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-351995.
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This thesis deals with the stochastic optimization problem of hydro reservoir manage- ment. External inflows and market electricity price are both considered as random inputs to the model, which is designed as joint chance constrained programming. The main goal of the optimization problem is to maximize the profit from hydro energy usage together with minimizing the cost of used water. The random component is modelled by suitable stochastic processes based on historical data and then approximated via scenarios. Sea- sonal deterministic model is another model that is presented in this thesis. This model helps appraise water stored in every each reservoir's compartment. The estimates of water values are based on dual variables. Finally, in the practical part the hydro reservoir ma- nagement problem is applied to the real hydro valley located on the Vltava river. This part also deals with an option of increasing the number of pumping stations in this particular hydro valley.
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Čoupek, Petr. "Stochastické integrály řízené isonormálními gaussovskými procesy a aplikace." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-328307.
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Stochastic Integrals Driven by Isonormal Gaussian Processes and Applications Master Thesis - Petr Čoupek Abstract In this thesis, we introduce a stochastic integral of deterministic Hilbert space valued functions driven by a Gaussian process of the Volterra form βt = t 0 K(t, s)dWs, where W is a Brownian motion and K is a square integrable kernel. Such processes generalize the fractional Brownian motion BH of Hurst parameter H ∈ (0, 1). Two sets of conditions on the kernel K are introduced, the singular case and the regular case, and, in particular, the regular case is studied. The main result is that the space H of β-integrable functions can be, in the strictly regular case, embedded in L 2 1+2α ([0, T]; V ) which corresponds to the space L 1 H ([0, T]) for the fractional Brownian mo- tion. Further, the cylindrical Gaussian Volterra process is introduced and a stochastic integral of deterministic operator-valued functions, driven by this process, is defined. These results are used in the theory of stochastic differential equations (SDE), in particular, measurability of a mild solution of a given SDE is proven.
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Mach, Tibor. "Robustní filtrování." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-321405.
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This work is focused on the problem of filtering of random processes and on the construction of a stochastic integral with a measureable parameter. This integral is used to devise filtration equations for a random process which is based on a model motivated by a financial application. The method used to devise them and the equations themselves are then compared with the so called optional filtering from the book Markov processes and Martingales by Rogers and Williams, while the definition of the optional projection is extended so it is possible to correct a~mistake in a proposition in the aforementioned book. Powered by TCPDF (www.tcpdf.org)
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Lacina, Filip. "Stochastické integrály." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-344659.
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