Searched for: subject%3A%22Diffusion%255C+Process%22
(1 - 6 of 6)
document
Ma, H. (author), Blom, H.A.P. (author)
This paper focuses on estimating reach probability of a closed unsafe set by a stochastic process. A well-developed approach is to make use of multi-level MC simulation, which consists of encapsulating the unsafe set by a sequence of increasing closed sets and conducting a sequence of MC simulations to estimate the reach probability of each...
journal article 2022
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Bierkens, G.N.J.C. (author), Grazzi, S. (author), van der Meulen, F.H. (author), Schauer, M.R. (author)
We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme based on a non-reversible continuous piecewise deterministic Markov process. Similar to the Lévy–Ciesielski construction of a Brownian motion, we expand the...
journal article 2021
document
Corstanje, Marc (author)
When data in higher dimensions with a certain constraint on it, say a set of locations on a sphere, is encountered, some classical statistical analysis methods fail, as the data no longer assumes its values in a linear space. In this thesis we consider such datasets and aim to do likelihood-based inference on the center of the data. To model the...
master thesis 2019
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Knol, Arthur (author)
The two performance areas “security” and “efficiency” in airport security operations cannot be analyzed apart from each other, since influencing one has a large impact on the other. In this research agent-based modelling is used to analyze dynamic relations and trade-offs between security and efficiency within airport security operations....
master thesis 2018
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van der Meulen, F.H. (author), Schauer, M.R. (author)
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is...
journal article 2017
document
Ruijter, M.J. (author), Oosterlee, C.W. (author)
We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general theta-discretization of the time-integrands leads to an induction scheme with conditional expectations. These are approximated by using Fourier cosine series expansions, relying on the availability of a characteristic function. The method is...
journal article 2015
Searched for: subject%3A%22Diffusion%255C+Process%22
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