Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"sample paths"”.
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Dynamic optimization in the age of big data
… optimization problem that is constructed from sample paths of the underlying stochastic process. As more sample paths are obtained, we prove that the optimal cost of the robust problem converges to that of the underlying stochastic problem. To the best of our knowledge, this is the first …
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ON DERIVATIVES AND DERIVATIVES PRICING
… would require the generation of millions of sample paths and the computational time can be long. The Least Square Policy Evaluation method can be an alternative in this case as it does not require the generation of the complete sets of sample paths and as long as we have a good basis …
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Numerical approximation and parametric statistical inference of stochastic differential equations, with applications to finance
… of SDEs requires reliable methods of generating sample paths from the equations, e.g. for use in Monte Carlo simulations, and robust parameter estimation methods to calibrate the SDEs to observed market data. Proposed stochastic models for financial variables are becoming increasingly complex in …
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Reliability diagnostic strategies for series systems under imperfect testing
… error probabilities are included and single-pass sample paths are required. The model accounts for the expected costs of testing components, false positive termination, and no-defect-found outcomes. Based on the model, a heuristic was developed to construct the cost minimizing testing sequence. …
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Quantification of benefits of the campus grid operations as a microgrid
… operational paradigm. As such, we systematically sample the r.p.s to generate the realizations, or sample paths, that we use to emulate the scheduling of the CUS for a given operational paradigm via the ESOP. The ESOP solution maps the sample paths of the loads and supply resources into the sample …
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Ancestral structures in population genetics and a generalisation to birth-death processes with catastrophes
… consists of a set of potential ancestors of the sampled individual at any given time, to investigate the line of descent of a randomly-sampled individual from a contemporary population. We trace this ancestral line back into the distant past, far beyond the most recent common ancestor of the …
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Essays in the Theory and Practice of the Suzuki Method
… a discussion, then it demonstrates through three sample paths to technical competencies how each school might carry out their technique-instructional methods. While it is commonly understood that the Suzuki Method teaches technique through music, and traditional European-based methods teach …
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Fractional stochastic volatility models: approximation, calibration and hedging
… volatility persistence or the roughness of the sample paths of volatilities. And that is when the fractional stochastic volatility models are introduced. Our work about fractional stochastic volatility models mainly covers three different directions: hedging, calibration and approximation. In …
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Variance-reduced simulation of lattice Markov chains
… but mean estimates, say, constructed from these sample paths exhibit dramatically reduced variance. The work is comprised of three main parts. First, we introduce algorithms to reduce the simulation costs for discrete-time Markov chains. We describe how to modify the simulation of sample …
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Effective Estimation of Marginal Quantiles in Steady-State Simulations
… batches; (ii) a new fully automated fixed-sample-size procedure for steady-state quantile estimation based on a single time series; and (iii) the first fully automated fixed-sample-size procedure for steady-state quantile estimation based on sample paths generated by independent …
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Stochastic simulation of power systems with integrated renewable and utility-scale storage resources
… market operations. As such, we systematically sample the ``input'' random processes – namely the buyer demands, renewable resource outputs and conventional generation resource available capacities – to generate the realizations, or sample paths, that we use in the emulation of the …
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Resource adequacy in grids with integrated renewable resources
… load history and RR output data to construct the sample paths (s.p.s) associated with the stochastic process representations. The incorporation of RRs is based on the net load concept, which is defined to be the net difference between the total system load and the total RR outputs. In other words, …