| Title |
Stochastinių sistemų funkcionavimo aproksimavimas Markovo modeliais / |
| Translation of Title |
Approximation of stochastic systems’ dynamics by Markovian models. |
| Authors |
Mickevičius, Giedrius |
| Full Text |
|
| Pages |
90 |
| Keywords [eng] |
approximation with exponential phases ; modeling queueing systems ; modeling stock dinamics ; option pricing |
| Abstract [eng] |
Application of numerical methods with approximation allows to extend a class of systems represented by Markovian processes under investigation compared with analytical methods. So a goal was stated to create algorithms for modeling stochastic systems approximating them by Markovian models. To reach this goal the following tasks were solved: Analyze possibilities to approximate stochastic systems’ models by Markovian models; Create a multipurpose software that would calculate stationary probabilities for given system described in an event-based language; Apply created software for models of service systems and stock valuation. Created software is universal and easy-to-use for anyone that has at least basic knowledge in C++ language. This software was applied for modeling of service systems, for description of share price variability as Markovian process and for option pricing. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2007 |
