En
  • دکتری (1390)

    ریاضی محض

    دانشگاه صنعتی شریف،

  • کارشناسی‌ارشد (1383)

    ریاضی محض

    دانشگاه صنعتی شریف،

  • کارشناسی (1381)

    ریاضی کاربردی

    دانشگاه شهید بهشتی،

  • حسابان ملیوان - ریاضیات مالی - کنترل بهینه تصادفی -حل عددی معادلات دیفرانسیل تصادفی

    در سال ۱۳۷۷ دانشجوی کارشناسی دانشگاه شهید بهشتی در گرایش ریاضی کاربردی شدم. در سال ۱۳۸۱ به مقطع کارشناسی ارشد در دانشگاه صنعتی شریف رفته و در زمینه رنگ آمیزی لیستی گرافهای تصادفی آن را به پایان رساندم. در سال ۱۳۸۴ دوره دکتری را در همان دانشگاه شروع کرده و به زمینه های آنالیز تصادفی و معادلات دیفرانسیل تصادفی گرایش پیدا کردم و با سفری به فرانسه در دوران تحصیل دکتری با ادبیات حسابان ملیوان آشنا شده و در آن زمینه و همچنین حل عددی معادلات دیفرانسیل تصادفی این دوره را به پایان رساندم. از سال ۱۳۹۱ در خدمت دانشگاه تربیت مدرس هستم.

    ارتباط

    رزومه

    The convergence of a numerical scheme for additive fractional stochastic delay equations with H> 12

    F Mahmoudi, M Tahmasebi
    Journal Papers , , {Pages }

    Abstract

    The Convergence of exponential Euler method for weighted fractional stochastic equations

    Mahdieh Tahmasebi, Fatemeh Mahmoudi
    Journal PapersComputational Methods for Differential Equations , 2021 May 1, {Pages }

    Abstract

    In this paper, we propose an exponential Euler method to?approximate the solution of a stochastic functional differential equation?driven by weighted fractional Brownian motion B{a,b} under some?assumptions on a and b. We obtain also the convergence rate of the method to?the true solution after proving an L2 -maximal bound for the stochastic?ntegrals in this case.

    Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

    Ali Delavarkhalafi, AS Fatemion Aghda, Mahdieh Tahmasebi
    Journal PapersInternational Journal of Control , 2020 August 6, {Pages 09-Jan }

    Abstract

    In this paper, we consider a problem of optimal control of an infinite horizon mean-field backward stochastic differential equation with delay and noisy memory under partial information. We derive necessary and sufficient maximum principles using Malliavin calculus technique for such a system. A class of mean-field time-advanced stochastic differential equations is introduced as the adjoint process which involves partial derivatives of the Hamiltonian functions and their Malliavin derivatives. To illustrate our theoretical results, we give an example for a linear-quadratic mean-field backward delay stochastic system with noisy memory on infinite horizon to obtain the optimal control. Also, we apply our results to pension fund problems with

    Malliavin differentiability and reqularity of densities in multiplicative stochastic delay equations with weighted fractional Brownian motion

    Mahdieh Tahmasebi
    Journal PapersarXiv preprint arXiv:2011.11368 , 2020 November 23, {Pages }

    Abstract

    In this work, we will show the existence and uniqueness of the solution to the semi linear stochastic differential equations driven by weighted fractional Brownian motion with delay. We also prove smoothness of the density of the solution with respect to Lebesgue's measure.Subjects: Probability (math. PR)Cite as: arXiv: 2011.11368 [math. PR](or arXiv: 2011.11368 v1 [math. PR] for this version)Submission historyFrom: Mahdieh Tahmasebi [view email][v1] Mon, 23 Nov 2020 12: 51: 22 UTC (19 KB)Full-text links:Download:

    Fractional Brownian motion with two-variable Hurst exponent

    H Maleki Almani, SM Hosseini, M Tahmasebi
    Journal PapersJournal of Computational and Applied Mathematics , 2020 November 2, {Pages 113262 }

    Abstract

    In this paper, we consider some experimental and analytical expositions of the time dependency of Hurst exponent. It is our motivation to introduce a new kind of fBm with a two-variable and time-dependent Hurst exponent (fBm-H) by an analysis in the standard deviation of some financial time series. We prove the existence of such processes and also give some simulations of sample paths of some kinds of these processes. Moreover, some important properties such as continuity, stationary increments are identified as well as self-similarity feature in a new manner. Finally, we prove the strong convergency of the Maximum Likelihood Estimation (MLE) of the parameters of the Black–Scholes (BS) model with Generalized Mixed Fractional Brownian Moti

    Malliavin differentiability and regularity of densities in semi-linear stochastic delay equations driven by weighted fractional Brownian motion

    M Tahmasebi
    Journal Papers , , {Pages }

    Abstract

    Fault-tolerant formation control of stochastic nonlinear multi-agent systems with time-varying weighted topology

    M Siavash, VJ Majd, M Tahmasebi
    Journal Papers , , {Pages }

    Abstract

    A practical finite-time back-stepping sliding-mode formation controller design for stochastic nonlinear multi-agent systems with time-varying weighted topology

    M Siavash, VJ Majd, M Tahmasebi
    Journal Papers , , {Pages }

    Abstract

    Multilevel Path Simulation to Jump-Diffusion Process with Superlinear Drift

    Azadeh Ghasemifard, Mahdieh Tahmasebi
    Journal PapersApplied Numerical Mathematics , 2019 May 2, {Pages }

    Abstract

    In this work, we will show strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm with split-step backward Euler (SSBE) and backward (drift-implicit) Euler (BE) schemes for nonlinear jump-diffusion stochastic differential equations (SDEs) when the drift coefficient is globally one-sided Lipschitz and the test function is only locally Lipschitz. We also confirm these theoretical results by numerical experiments for the jump-diffusion processes.

    Comments on “Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems”[J. Comput. Appl. Math. 205 (2007) 949–956]

    Mahdieh Tahmasebi, Azadeh Ghasemifard, Mohammad Taghi Jahandideh
    Journal PapersJournal of Computational and Applied Mathematics , 2019 March 28, {Pages }

    Abstract

    In this note, we correct an inaccuracy of Eq. (13) in the proof of Theorem 1 in the paper (Higham and Kloeden, 2007). We also give a complete proof of the theorem by applying the Burkholder–Davis–Gundy Inequality.

    Finite-Time Consensus Control of Euler-Lagrange Multi-agent Systems in the Presence of Stochastic Disturbances and Actuator Faults

    Mahdi Siavash, V Majd, Mahdieh Tahmasebi
    Journal PapersJournal of Electrical and Computer Engineering Innovations (JECEI) , Volume 7 , Issue 2, 2019 November 1, {Pages 163-170 }

    Abstract

    This article discusses a finite-time fault-tolerant consensus control for stochastic Euler-Lagrange multi-agent systems. First, the finite-time consensus controller of Euler-Lagrange multi-agent systems with stochastic disturbances is presented. Then, the proposed controller is extended as a fault-tolerant controller in the presence of faults in the actuators. In these two cases, the sliding-mode distributed consensus controllers are designed. The results guarantee that by using these controllers, the consensus tracking errors converge to a desired area near the origin in finite-time with the mean-square sense and also remain bounded in probability. In the simulation section, a robotic manipulator model with actuator faults and stochastic d

    Comments on “Strong convergence rates for backward Euler on a class of nonlinear jump–diffusion problems”[J. Comput. Appl. Math. 205 (2007) 949–956]

    M Tahmasebi, A Ghasemifard, MT Jahandideh
    Journal Papers , , {Pages }

    Abstract

    Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

    AS Fatemion Aghda, Seyed Mohammad Hosseini, Mahdieh Tahmasebi
    Journal PapersJournal of Computational and Applied Mathematics , Volume 344 , 2018 December 15, {Pages 676-690 }

    Abstract

    In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox–Ingersoll–Ross (CIR) model with jump which often gives rise to model an asset price and stochastic volatility dependent on past data. We show that this method preserves non-negativity property of the solution of this model with appropriate control functions. We prove the strong convergence and investigate the p th moment boundedness of the solution of BIM. Finally, we illustrate those results in the last section.

    Numerical multi-scaling method to solve the linear stochastic partial differential equations

    MM Roozbahani, H Aminikhah, M Tahmasebi
    Journal PapersComputational and Applied Mathematics , Volume 37 , Issue 4, 2018 September 1, {Pages 5527-5541 }

    Abstract

    In this paper, we propose a multi-scaling method to solve a class of the stochastic partial differential equations (SPDEs) of It?-type. By this method, we approximate the solution of the SPDEs with strongly elliptic operator on a finite domain. The method is based on B-spline wavelet approximations; some of these functions are reshaped to satisfy on boundary conditions exactly. We prove the consistency and stability of the method. Illustrative examples are included to demonstrate the validity and applicability of our proposed technique.

    NUMERICAL SOLUTION OF STOCHASTIC FRACTIONAL PDES BASED ON TRIGONOMETRIC WAVELETS

    MM Roozbahani, H Aminikhah, M Tahmasebi
    Journal PapersUNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS , Volume 80 , Issue 1, 2018 January 1, {Pages 161-174 }

    Abstract

    This article presents a trigonometric wavelet–based implicit numerical method in order to approximate the solutions of a class of stochastic fractional partial differential equations (SFPDEs). The existence and uniqueness of mild solution is studied. Furthermore, the convergence analysis of the proposed method is investigated. Finally, some numerical examples are performed to show the validity of theoretical results.

    Numerical solution of nonlinear SPDEs using a multi-scale method

    Mahmoud Mohammadi Roozbahani, Hossein Aminikhah, Mahdieh Tahmasebi
    Journal PapersComputational Methods for Differential Equations , Volume 6 , Issue 2, 2018 April 1, {Pages 157-175 }

    Abstract

    In this paper we establish a new numerical method for solving a class of stochastic partial differential equations (SPDEs) based on B-splines wavelets. The method combines implicit collocation with the multi-scale method. Using the multi-scale method, SPDEs can be solved on a given subdomain with more accuracy and lower computational cost than the rest of the domain. The stability and consistency of the method are provided. Also numerical experiments illustrate the behavior of the proposed method.

    Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox–Ingersoll–Ross model

    AS Fatemion Aghda, Seyed Mohammad Hosseini, Mahdieh Tahmasebi
    Journal PapersApplied Numerical Mathematics , Volume 118 , 2017 August 1, {Pages 249-265 }

    Abstract

    The delay Cox–Ingersoll–Ross (CIR) model is an important model in the financial markets. It has been proved that the solution of this model is non-negative and its pth moments are bounded. However, there is no explicit solution for this model. So, proposing appropriate numerical method for solving this model which preserves non-negativity and boundedness of the model's solution is very important. In this paper, we concentrate on the balanced implicit method (BIM) for this model and show that with choosing suitable control functions the BIM provides numerical solution that preserves non-negativity of solution of the model. Moreover, we show the pth moment boundedness of the numerical solution of the method and prove the convergence of th

    Integral sliding mode control for robust stabilisation of uncertain stochastic time-delay systems driven by fractional Brownian motion

    Khosro Khandani, Vahid Johari Majd, Mahdieh Tahmasebi
    Journal PapersInternational Journal of Systems Science , Volume 48 , Issue 4, 2017 March 12, {Pages 828-837 }

    Abstract

    In this paper, the stability and controller design for fractional stochastic systems, i.e. stochastic systems driven by fractional Brownian motion (fBm) are investigated. A fractional infinitesimal operator is proposed for stability analysis of this class of stochastic systems and a Lyapunov-based stability criterion is established. Thereafter, the presented stability criterion is utilised to develop the sliding mode control scheme for fractional stochastic systems with state delay and time-varying uncertainties. By applying the proposed fractional infinitesimal operator, the sufficient robust stability conditions are derived in the form of linear matrix inequalities. The proposed method guarantees the reachability of the sliding surface in

    A SLIDING MODE CONTROL SCHEME FOR FRACTIONAL STOCHASTIC SYSTEMS WITH STATE DELAY

    KHOSRO KHANDANI, MAJD VAHID JOHARI, MAHDIEH TAHMASEBI
    Journal Papers , Volume 10 , Issue 2, 2016 January 1, {Pages 13-22 }

    Abstract

    In this paper, a new approach is proposed for stability analysis of fractional stochastic systems. By extending the concept of infinitesimal operator using the fractional Ito formula, it becomes possible to apply it in fractional stochastic systems for stability analysis by Lyapunov functions. Thereafter, the presented stability criterion is utilized to develop the sliding mode control scheme for fractional stochastic systems with state delay. The proposed design method ensures that the state trajectories reach the sliding surface with probability one. Stability analysis of the system at sliding mode is executed using the given fractional infinitesimal operator and the stochastic stability conditions are given in the form of linear matrix i

    The multi-scale method for solving nonlinear time space fractional partial differential equations

    Hossein Aminikhah, Mahdieh Tahmasebi, Mahmoud Mohammadi Roozbahani
    Journal PapersIEEE/CAA Journal of Automatica Sinica , 2016 November 9, {Pages }

    Abstract

    In this paper, we present a new algorithm to solve a kind of nonlinear time space-fractional partial differential equations on a finite domain. The method is based on B-spline wavelets approximations, some of these functions are reshaped to satisfy on boundary conditions exactly. The Adams fractional method is used to reduce the problem to a system of equations. By multi-scale method this system is divided into some smaller systems which have less computations. We get an approximated solution which is more accurate on some subdomains by combining the solutions of these systems. Illustrative examples are included to demonstrate the validity and applicability of our proposed technique, also the stability of the method is discussed.

    /pro/academic_staff/tahmasebi/publication

    دروس نیمسال جاری

    • كارشناسي ارشد
      آناليز حقيقي ( واحد)
      دانشکده علوم ریاضی، گروه رياضي كاربردي

    دروس نیمسال قبل

    • كارشناسي ارشد
      رياضي مالي 2 ( واحد)
      دانشکده علوم ریاضی، گروه رياضي كاربردي
    • كارشناسي ارشد
      فرآيندهاي لوي در رياضي مالي ( واحد)
    • 1399
      پرماه, رويا
      كاهش بعد در قيمت گذاري دارايي با ابعاد بالا
    • 1400
      بهروزيه, معصومه
    • 1400
      عبداللهي, زهره
    • 1400
      غلامي, محمد
      داده ای یافت نشد
      داده ای یافت نشد

    مهم

    جدید

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