Browsing Mathematics (Faculty of) by Title
Now showing items 1820-1839 of 2985
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Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ... -
Numerical Methods for Optimal Trade Execution
(University of Waterloo, 2012-09-19)Optimal trade execution aims at balancing price impact and timing risk. With respect to the mathematical formulation of the optimization problem, we primarily focus on Mean Variance (MV) optimization, in which the two ... -
Numerical Methods for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) as a Singular Control Problem
(University of Waterloo, 2011-08-23)Guaranteed Minimum Withdrawal Benefits(GMWB) have become popular riders on variable annuities. The pricing of a GMWB contract was originally formulated as a singular stochastic control problem which results in a Hamilton ... -
Numerical Methods for Real Options in Telecommunications
(University of Waterloo, 2004)This thesis applies modern financial option valuation methods to the problem of telecommunication network capacity investment decision timing. In particular, given a cluster of base stations (wireless network with a ... -
Numerical Modelling of Wind Storms in the Lower Great Lakes
(University of Waterloo, 2019-01-07)Convective storms are incredible meteorological events; the impact of just one storm can be extreme and widespread. On July 21 1998, a convective storm formed west of Lake Michigan, moving quickly across the lower Great ... -
Numerical Simulation of Nonlinear and Dispersive Wave Equations using Adaptive Mesh Refinement (AMR)
(University of Waterloo, 2020-06-24)Numerical solution of time dependent Partial Differential Equations plays an important role in different fluid flow modelling problems. Sometimes a little portion of the computational domain needs high grid resolution in ... -
Numerical Simulation of Surface Waves using Meshfree Methods
(University of Waterloo, 2009-04-27)Smoothed Particle Hydrodynamics (SPH) is a Lagrangian-based numerical method used for simulating problems in fluid and solid mechanics. In this thesis, a basic introduction to particle and Smoothed Particle (SP) approximations ... -
Numerical simulations of convection and gravity currents near the temperature of maximum density
(University of Waterloo, 2022-08-09)Recently, the dynamics of flows in cold freshwater (temperatures around the temperature of maximum density, 3.98 oC) has garnered much interest in the environmental fluid dynamics community. From a dynamical perspective, ... -
Numerical Simulations of Internal Solitary and Solitary-Like Waves: Wave Interactions and Instabilities
(University of Waterloo, 2019-05-31)Internal solitary and solitary-like waves (ISWs) are commonly observed in stably stratified fluids such as the Earth's atmosphere and oceans. As these waves interact with other physical processes and/or move through a ... -
Numerical Simulations of Shoaling Internal Solitary Waves of Elevation
(University of Waterloo, 2015-04-13)We present high-resolution, two- and three-dimensional direct numerical simulations of laboratory-scale, fully nonlinear internal solitary waves of elevation shoaling onto and over a small-amplitude shelf. The three-dimensional, ... -
Numerical Solutions of Two-factor Hamilton-Jacobi-Bellman Equations in Finance
(University of Waterloo, 2015-12-03)In this thesis, we focus on solving multidimensional HJB equations which are derived from optimal stochastic control problems in the financial market. We develop a fully implicit, unconditionally monotone finite difference ... -
Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression
(University of Waterloo, 2019-07-30)The theme of this thesis is to develop theoretically sound as well as numerically efficient Least Squares Monte Carlo (LSMC) methods for solving discrete-time stochastic control problems motivated by insurance and finance ... -
Numerical Stability in Linear Programming and Semidefinite Programming
(University of Waterloo, 2006)We study numerical stability for interior-point methods applied to Linear Programming, LP, and Semidefinite Programming, SDP. We analyze the difficulties inherent in current methods and present robust algorithms. ... -
Numerical Study of a Viscoelastic Model for Hydrocephalus
(University of Waterloo, 2006)Hydrocephalus is a clinical conditon where the brain tissue is deformed by the expanding ventricules. In this thesis, the mechanical deformation of a hydrocephalic brain is studied using a biomechanical model, where the ... -
Nymbler: Privacy-enhanced Protection from Abuses of Anonymity
(University of Waterloo, 2011-01-05)Anonymous communications networks help to solve the real and important problem of enabling users to communicate privately over the Internet. However, by doing so, they also introduce an entirely new problem: How can service ... -
The O'Nan-Scott Theorem for Finite Primitive Permutation Groups, and Finite Representability
(University of Waterloo, 2009-08-06)The O'Nan-Scott Theorem classifies finite primitive permutation groups into one of five isomorphism classes. This theorem is very useful for answering questions about finite permutation groups since four out of the five ... -
Obedience-based Multi-Agent Cooperation for Sequential Social Dilemmas
(University of Waterloo, 2020-05-14)We propose a mechanism for achieving cooperation and communication in Multi-Agent Reinforcement Learning (MARL) settings by intrinsically rewarding agents for obeying the commands of other agents. At every timestep, agents ... -
Occlusion-Ordered Semantic Instance Segmentation
(University of Waterloo, 2023-08-23)Conventional semantic ‘instance’ segmentation methods offer a segmentation mask for each object instance in an image along with its semantic class label. These methods excel in distinguishing instances, whether they belong ... -
OFF-DIAGONAL CORNERS OF SUBALGEBRAS OF L(Cn)
(Elsevier, 2020-12-15)Let n ∈ N, and consider Cn equipped with the standard inner product. Let A ⊆ L(Cn) be a unital algebra and P ∈ L(Cn) be an orthogonal projection. The space L := P ⊥A|ran P is said to be an off-diagonal corner of A, and L ... -
Offline Evaluation via Human Preference Judgments: A Dueling Bandits Problem
(University of Waterloo, 2022-11-22)The dramatic improvements in core information retrieval tasks engendered by neural rankers create a need for novel evaluation methods. If every ranker returns highly relevant items in the top ranks, it becomes difficult ...