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Stochastic Delay Differential Equations With Applications In Ecology And Epidemics, Hebatallah Jamil Alsakaji

Dissertations

Mathematical modeling with delay differential equations (DDEs) is widely used for analysis and predictions in various areas of life sciences, such as population dynamics, epidemiology, immunology, physiology, and neural networks. The memory or time-delays, in these models, are related to the duration of certain hidden processes like the stages of the life cycle, the time between infection of a cell and the production of new viruses, the duration of the infectious period, the immune period, and so on. In ordinary differential equations (ODEs), the unknown state and its derivatives are evaluated at the same time instant. In DDEs, however, the …

Analysis Of Inventory Models With Random Supply Using A Long-Term Average Criterion, Lars Moestue

Theses and Dissertations

In this thesis we will use different numerical algorithms for inventory models, where the inventory level is described by a stochastic differential equation and therefore random. Furthermore we assume that order supply is randomly distributed. The goal is to find the optimal order strategy to minimize the long-term average costs.\\

This stochastic problem can be reformulated as non-linear optimization problem. However the problems are too complex to solve by hand, so we need to use numerical optimization algorithms and for some of the models even numerical integration methods. \\

These algorithms then can be used to analyze some properties and …

Valuation Of Variance Swaps In Volatile Markets With Regime Switching, Mariam Zuwaid Salem Khamis Alshamsi

Mathematical Sciences Theses

Stochastic differential equations (SDEs) are extensively used to model various financial quantities. In the last decades, financial modeling by SDEs under regime-switching have been utilized to allow moving from an economic state to another. The aim of this research work is to tackle the pricing of variance swaps in a volatile market under regime switching model. SDEs under regime-switching models are more realistic but the solution is more complicated and may not exist analytically. Therefore, numerical methods for finance are explored. The study proposes a new SDE under regime-switching with high volatility model for the prices of the underlying financial …