Eliza Rezvanova, “Optimal policies for battery operation and design via stochastic optimal control of jump diffusions”, MS-Thesis, KAUST, April 2021.
Renzo Caballero, “Stochastic Optimal Control of Renewable Energy”, MS-Thesis, KAUST, June 2019.
Soumaya Elkantassi, "Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models", MS-Thesis, KAUST, April 2017.
Marco Ballesio, "Indirect Inference for Scalar Time-homogeneous Stochastic Differential Equations Based on Moment Expansions", Master Thesis, Politecnico of Torino and Real Collegio Carlo Alberto - KAUST, January 2016.
Alessandro Iania, "Basket option pricing for processes with jumps using sparse grids and Fourier transforms", Master Thesis, Politecnico di Torino / KAUST, December 2015.
Chaouki Ben Issaid, "Bayesian Optimal Experimental Design Using Multilevel Monte Carlo", MS Thesis, KAUST, April 2015.
Chiheb Ben Hammouda, "Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks", MS Thesis, KAUST, April 2015.
Nathan Quadrio, "Multilevel Monte Carlo method for PDEs with fluid dynamic applications", Master Thesis, KAUST, October 2014.
Nadhir Ben Rached, "Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations", Master Thesis, KAUST, November 2013.