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1

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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2

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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3

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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4

Davies, M. J. "Topics in stochastic analysis." Thesis, Swansea University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.636421.

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This thesis uses Nelson's stochastic mechanics to study a variety of problems. These include point sources, particles in a constant magnetic field with oscillator potentials and Brownian Motion with a constant drift. By using a finite difference approximation Chapter 1 gives an account of the Stochastic Variational Principle for stochastic mechanics based on Carlen's approach. It is shown that every diffusion satisfying the dynamical law of stochastic mechanics corresponds to a solution of the Schröinger equation. Chapter 2 is concerned with point sources and gives a brief account of Nelson's
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5

Nadakuditi, Rajesh Rao. "Applied stochastic Eigen-analysis." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/38538.

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Thesis (Ph. D.)--Joint Program in Applied Ocean Science and Engineering (Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science; and the Woods Hole Oceanographic Institution), 2006.<br>This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.<br>Also issued in pages. Barker Engineering Library copy: issued in pages.<br>Includes bibliographical references (leaves 193-[201]).<br>The first part of the dissertation investigates the application of the theory of large random
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6

Liu, Xuan. "Some contribution to analysis and stochastic analysis." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:485474c0-2501-4ef0-a0bc-492e5c6c9d62.

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The dissertation consists of two parts. The first part (Chapter 1 to 4) is on some contributions to the development of a non-linear analysis on the quintessential fractal set Sierpinski gasket and its probabilistic interpretation. The second part (Chapter 5) is on the asymptotic tail decays for suprema of stochastic processes satisfying certain conditional increment controls. Chapters 1, 2 and 3 are devoted to the establishment of a theory of backward problems for non-linear stochastic differential equations on the gasket, and to derive a probabilistic representation to some parabolic type par
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7

Johannessen, Knut. "Stochastic analysis of Workover Risers." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for marin teknikk, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-11550.

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The goal of this thesis is to investigate the properties of dynamic analysis of slender, top tensioned risers when using both regular and irregular waves. The goal was to discover properties in the response that correlates to a parameter that can be found in both methods. The approach is to use a model of a riser in open water connected to the sea bed, and top tensioned by a semi submersible rig subjected to the dynamic load of waves and currents. The theories that hold the basis of dynamic analyses using finite elements are outlined, and different methods of solving the dynamic equilibrium eq
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8

Youssef, Nataly. "Stochastic analysis via robust optimization." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/103246.

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Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2016.<br>Cataloged from student-submitted PDF version of thesis.<br>Includes bibliographical references (pages 167-174).<br>To evaluate the performance and optimize systems under uncertainty, two main avenues have been suggested in the literature: stochastic analysis and optimization describing the uncertainty probabilistically and robust optimization describing the uncertainty deterministically. Instead, we propose a novel paradigm which leverages the conclusions of probability theor
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9

Whiteside, M. B. "Stochastic analysis of composite materials." Thesis, Imperial College London, 2012. http://hdl.handle.net/10044/1/9986.

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This thesis describes the development of stochastic analysis frameworks for use in engineering design and optimisation. The research focuses on fibre-reinforced composites, with the stochastic analyses of an existing analytical failure model for unidirectional composites and of a unit cell numerical model of a 2D 5-Harness satin weave. Stochastic failure envelopes are generated through parallelised Monte Carlo Simulation of deterministic, analytical, physically based failure criteria for unidirectional carbon fibre/epoxy matrix composite plies. Monte Carlo integration of global variance-based
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10

Güngör, Mesut Savacı Ferit Acar. "Analysis of Stochastic Dynamical Systems/." [s.l.]: [s.n.], 2007. http://library.iyte.edu.tr/tezler/master/elektrikveelektronikmuh/T000630.pdf.

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11

Labeodan, Moremi Morire OreOluwapo. "Stochastic analysis of AIDS epidemiology." Thesis, Pretoria : [s.l.], 2009. http://upetd.up.ac.za/thesis/available/etd-10172009-112824.

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12

Prömel, David Johannes. "Robust stochastic analysis with applications." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17373.

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Diese Dissertation präsentiert neue Techniken der Integration für verschiedene Probleme der Finanzmathematik und einige Anwendungen in der Wahrscheinlichkeitstheorie. Zu Beginn entwickeln wir zwei Zugänge zur robusten stochastischen Integration. Der erste, ähnlich der Ito’schen Integration, basiert auf einer Topologie, erzeugt durch ein äußeres Maß, gegeben durch einen minimalen Superreplikationspreis. Der zweite gründet auf der Integrationtheorie für rauhe Pfade. Wir zeigen, dass das entsprechende Integral als Grenzwert von nicht antizipierenden Riemannsummen existiert und dass sich jedem "t
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13

Wu, Ling. "Stochastic Modeling and Statistical Analysis." Scholar Commons, 2010. https://scholarcommons.usf.edu/etd/1813.

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The objective of the present study is to investigate option pricing and forecasting problems in finance. This is achieved by developing stochastic models in the framework of classical modeling approach. In this study, by utilizing the stock price data, we examine the correctness of the existing Geometric Brownian Motion (GBM) model under standard statistical tests. By recognizing the problems, we attempted to demonstrate the development of modified linear models under different data partitioning processes with or without jumps. Empirical comparisons between the constructed and GBM models are o
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14

Tsang, Wai-yin, and 曾慧賢. "Aspects of modelling stochastic volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31223515.

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15

Tsang, Wai-yin. "Aspects of modelling stochastic volatility /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22078952.

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16

Wang, Zimeng. "Stochastic optimal controls with delay." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/47816/.

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This thesis investigates stochastic optimal control problems with discrete delay and those with both discrete and exponential moving average delays, using the stochastic maximum principle, together with the methods of conjugate duality and dynamic programming. To obtain the stochastic maximum principle, we first extend the conjugate duality method presented in [2, 44] to study a stochastic convex (primal) problem with discrete delay. An expression for the corresponding dual problem, as well as the necessary and sufficient conditions for optimality of both problems, are derived. The novelty of
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17

Bakhtiari, Siamak. "Stochastic finite element slope stability analysis." Thesis, University of Manchester, 2011. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-finite-element-slope-stability-analysis(c1b451d9-8bf6-43ff-9c10-7b5209fb45c1).html.

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In this thesis, the failures that occurred during the construction of the Jamuna Bridge Abutment in Bangladesh have been investigated. In particular, the influence of heterogeneity on slope stability has been studied using statistical methods, random field theory and the finite element method. The research is divided into three main parts: the statistical characterization of the Jamuna River Sand, based on an extensive in-situ and laboratory database available for the site; calibration of the laboratory data against a double-hardening elastoplastic soil model; and stochastic finite element slo
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18

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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19

Fahlberg-Stojanovska, Linda Dianne. "Stochastic stability of Lozi mappings." Diss., The University of Arizona, 1989. http://hdl.handle.net/10150/184748.

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We study the Lozi mapping f(x,y) = (1+by-a|x|,x) acting on a compact trapping region in R² and prove that its Sinai-Bowen-Ruelle measure is stable under small random perturbations. This extends the results of Kifer and Young [Y2] for Axiom A attractors to a piecewise hyperbolic setting.
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20

Fashandi, Ali R. M. "Stochastic analysis of robot-safety systems." Thesis, University of Ottawa (Canada), 1998. http://hdl.handle.net/10393/4112.

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Robot population is increasing at an incredible pace. Over the last fifteen years, robot population grew from 30,000 in 1983, to the forecasted 820,000 by the end of 1998. Their infancy period has come to an end and they are not just being used in the automotive industry or required to perform simple tasks. They are now being employed in various sectors of industry and handle much more complex operations. Increased robot system complexity and their critical applications utilization have led to various reliability and safety problems. In 1982, the Machine Tool Trade Associations guidelines stat
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21

Satish, Shah Aashish. "Stochastic analysis of human-machine systems." Thesis, University of Ottawa (Canada), 2006. http://hdl.handle.net/10393/27175.

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This study presents a stochastic analysis of three-state device systems subjected to critical human errors and common-cause failures. The systems analysed incorporate elements of commonly used redundant configurations such as parallel, series, k-out-of-n and standby. For the systems that are subjected to constant failure and repair rates, the Markov State Space technique is used to perform the reliability and availability analysis. Generalized and special-case expressions for the system reliability, the mean time to failure, the steady state availability and the time-dependent availability for
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22

Mahmoudi, Fashandi Ali R. "Stochastic analysis of robot-safety systems." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape17/PQDD_0026/NQ36781.pdf.

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23

Roelly, Sylvie. "Reciprocal processes : a stochastic analysis approach." Universität Potsdam, 2013. http://opus.kobv.de/ubp/volltexte/2013/6458/.

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Reciprocal processes, whose concept can be traced back to E. Schrödinger, form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard.
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24

Waddington, Jonathan. "Human optokinetic nystagmus : a stochastic analysis." Thesis, University of Plymouth, 2012. http://hdl.handle.net/10026.1/1040.

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Optokinetic nystagmus (OKN) is a fundamental gaze-stabilising response in which eye movements attempt to compensate for the retinal slip caused by self-motion. The OKN response consists of a slow following movement made in the direction of stimulus motion interrupted by fast eye movements that are primarily made in the opposite direction. The timing and amplitude of these slow phases and quick phases are notably variable, but this variability is poorly understood. In this study I performed principal component analysis on OKN parameters in order to investigate how the eigenvectors and eigenvalu
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25

Wei, Xiaofan. "Stochastic Analysis and Optimization of Structures." University of Akron / OhioLINK, 2006. http://rave.ohiolink.edu/etdc/view?acc_num=akron1163789451.

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26

Salikhova, Alsu <1982&gt. "Stochastic Volatility Analysis for Hedge Funds." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/3351.

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27

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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Sorensen, Julian Karl. "White noise analysis and stochastic evolution equations." Title page, contents and abstract only, 2001. http://web4.library.adelaide.edu.au/theses/09PH/09phs713.pdf.

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Ramos, José A. "A stochastic realization and model reduction approach to streamflow modeling." Diss., Georgia Institute of Technology, 1985. http://hdl.handle.net/1853/32869.

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Sun, Junfeng. "Stochastic models for compliance analysis and applications." Connect to resource, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1117049743.

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31

Meng, Yu. "Bayesian Analysis of a Stochastic Volatility Model." Thesis, Uppsala University, Department of Mathematics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-119972.

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32

Eliiyi, Ugur. "Discrete-time Stochastic Analysis Of Land Combat." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/759472/index.pdf.

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In this study, we present the implementation and experimental analysis of a modeling approach for analyzing tactical level land combat to generate information for weapon and ammunition planning. The discrete-time stochastic model (DSM), which can handle small and moderately large force levels, is based on single shot kill probabilities. Forces are assumed to be heterogeneous on both sides, and both directed and area fire types are modeled by means of combinatorial analysis. DSM considers overkills and can handle noncombat loss and engagement processes, discrete reinforcements, force combinatio
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33

Hwisu, Shin. "Stochastic Analysis For Water Pipeline System Management." 京都大学 (Kyoto University), 2015. http://hdl.handle.net/2433/202696.

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34

Subramanian, Parmeshwar. "The stochastic analysis of technical redundant systems." Thesis, University of Ottawa (Canada), 2001. http://hdl.handle.net/10393/6066.

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Today computers are widely used and their failures can lead to catastrophe. Redundancy is used to improve computer system reliability. This study presents a qualitative analysis of triple modular redundant (TMR) systems with redundant voters that can help to reduce the risk of failures. The voters examine the output of triple modular systems. Markov technique was employed to perform the analysis. Generalized formulas for reliability and mean time to failures of TMR systems with N voters have been developed. In addition, the system state probabilities in s-domain and steady state probabilities
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35

Cheng, Shen. "Stochastic analysis of standby robot-safety systems." Thesis, University of Ottawa (Canada), 2007. http://hdl.handle.net/10393/27820.

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Nowadays, the application of robots covers almost all aspects of our daily life. They are used to perform increasing complex and critical operations. The increased critical applications have led to various reliability and safety problems, especially many people are injured and killed every year. This study presents reliability and availability analyses of six different standby robot-safety systems: one robot and (n-1) standby safety units with a perfect switch, one robot and (n-1) standby safety units with an imperfect switch, (n-1) standby robots and one safety unit with a perfect switch, (n-
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36

Bréhier, Charles-Edouard. "Numerical analysis of highly oscillatory Stochastic PDEs." Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2012. http://tel.archives-ouvertes.fr/tel-00824693.

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In a first part, we are interested in the behavior of a system of Stochastic PDEs with two time-scales- more precisely, we focus on the approximation of the slow component thanks to an efficient numerical scheme. We first prove an averaging principle, which states that the slow component converges to the solution of the so-called averaged equation. We then show that a numerical scheme of Euler type provides a good approximation of an unknown coefficient appearing in the averaged equation. Finally, we build and we analyze a discretization scheme based on the previous results, according to the H
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Zeryos, Mihail. "Bayesian pursuit analysis and singular stochastic control." Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.338932.

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38

Tribastone, Mirco. "Scalable analysis of stochastic process algebra models." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/4629.

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The performance modelling of large-scale systems using discrete-state approaches is fundamentally hampered by the well-known problem of state-space explosion, which causes exponential growth of the reachable state space as a function of the number of the components which constitute the model. Because they are mapped onto continuous-time Markov chains (CTMCs), models described in the stochastic process algebra PEPA are no exception. This thesis presents a deterministic continuous-state semantics of PEPA which employs ordinary differential equations (ODEs) as the underlying mathematics for the p
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39

Dehmeshki, Jamshid. "Stochastic model-based approach to image analysis." Thesis, University of Nottingham, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.363908.

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Shi, Fangwei. "Asymptotic analysis of new stochastic volatility models." Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/60648.

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A good options pricing model should be able to fit the market volatility surface with high accuracy. While the standard continuous stochastic volatility models can generate volatility smiles consistent with market data for relatively larger maturities, these models cannot reproduce market smiles for small maturities, which have the well-observed 'small-time explosion' feature. In this thesis we propose three new types of stochastic volatility models, and we focus on the small-time asymptotic behaviour of the implied volatility in these models. We show that these models can generate implied vol
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41

Wiley, Richard Paul. "Performance analysis of Stochastic Timed Petri Nets." Thesis, Massachusetts Institute of Technology, 1985. http://hdl.handle.net/1721.1/15002.

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Thesis (Sc. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1986.<br>MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING<br>Bibliography: leaves 305-310.<br>by Richard Paul Wiley.<br>Sc.D.
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Graham, D. P. "Stochastic modelling and analysis of construction processes." Thesis, University of Edinburgh, 2005. http://hdl.handle.net/1842/12054.

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Construction projects frequently overrun and finish over budget; in part due to the lack of control that construction practitioners have over the construction schedule at a process level. Planning methods such as CPM are not of sufficient detail to allow a practitioner to plan a process to maximise its performance. Thus the aim of this research was to develop a practical, computer-based model to enable practitioners to plan projects at a process level and hence improve their projects. This research has focused upon a specific type of process - those that are stochastic and cyclical. Such proce
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Maglaras, George K. "Integrated analysis and design in stochastic optimization." Thesis, Virginia Tech, 1989. http://hdl.handle.net/10919/46048.

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<p>When structural optimization is performed via an iterative solution technique, it is possible to integrate the analysis and design iterations, in an integrated analysis and design procedure. The present work seeks to apply an integrated analysis and design approach in reliability based optimization, when a safety index approach is used.</p> <p>Two variants of the new approach are presented. Both of them are based on partially converged solution of the optimization procedure. The safety index approach employed allows us to use semi-analytical formulas to calculate the sensitivity der
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Cash, Charles R. "Stochastic Analysis of Multi-Item Flow Lines /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487931993468164.

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Cao, Fengming. "Network system performance analysis with stochastic geometry." Thesis, University of Bristol, 2017. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.707760.

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Zaidi, Syed Ali Raza. "Stochastic geometric analysis of cognitive wireless networks." Thesis, University of Leeds, 2013. http://etheses.whiterose.ac.uk/5490/.

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The prime objective of this thesis is to study these interference management mechanisms for quantifying the potential gains of CRs in terms of spectral utility. Interference modeling is the most important aspect of this extensive evaluation. Accurate modeling of the cognitive network interference, accommodating its stochastic nature (triggered by both spatial and propagation dynamics) is therefore a central contribution of this thesis. Since the aggregate interference from CRs is a function of the access strategy, two wellknown access paradigms, namely, spectrum underlay and interweave, are th
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Pahle, Jürgen. "Stochastic simulation and analysis of biochemical networks." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät I, 2008. http://dx.doi.org/10.18452/15786.

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Stochastische Effekte können einen großen Einfluss auf die Funktionsweise von biochemischen Netzwerken haben. Vor allem Signalwege, z.B. Calciumsignaltransduktion, sind anfällig gegenüber zufälligen Schwankungen. Daher stellt sich die wichtige Frage, wie dadurch der Informationstransfer in diesen Systemen beeinträchtigt wird. Zunächst werden eine Reihe von stochastischen Simulationsmethoden diskutiert und systematisch klassifiziert. Dies dient als methodische Grundlage der ganzen Dissertation. Der Schwerpunkt liegt hier auf approximativen und hybriden Ansätzen, einschließlich der Hybridmeth
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McVinish, Ross Stewart. "Stochastic analysis and approximation of fractional diffusion." Thesis, Queensland University of Technology, 2002.

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49

Manica, Nicola. "Stochastic Analysis of a resource reservation system." Doctoral thesis, Università degli studi di Trento, 2013. https://hdl.handle.net/11572/367896.

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An unmistakable trend in embedded systems is the growth of soft real-time computing. A soft real-time application is one for which deadlines can occasionally be missed, but the probability of this event has to be controllable and predictable. This work is aimed to close the gap in the research of stochastic real-time analysis related to resource reservation scheduling algorithms. This dissertation attempts to: 1. give a quick overview of classic real-time analysis 2. analyze the problems related to use the well-known techniques in the context of soft real-time applications: • overvalue the
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Manica, Nicola. "Stochastic Analysis of a resource reservation system." Doctoral thesis, University of Trento, 2013. http://eprints-phd.biblio.unitn.it/1052/1/Manica-PhD-thesis-UniTn.pdf.

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Résumé :
An unmistakable trend in embedded systems is the growth of soft real-time computing. A soft real-time application is one for which deadlines can occasionally be missed, but the probability of this event has to be controllable and predictable. This work is aimed to close the gap in the research of stochastic real-time analysis related to resource reservation scheduling algorithms. This dissertation attempts to: 1. give a quick overview of classic real-time analysis 2. analyze the problems related to use the well-known techniques in the context of soft real-time applications: • overvalue
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