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First Passage Times of a Jump Diffusion Process
, M.Sc. Thesis Sharif University of Technology ; Zohouri Zangeneh, Bijan (Supervisor)
Abstract
In this thesis, we study first passage times of a double exponential jump diffusion process to boundaries. This process consists of a continuous part which includes brownian motion and a jump part with jump sizes which have a double exponential distribution. We study explicit solutions obtained for the laplace transforms, of both the distribution of the first passage times and the joint distribution of the process and its running maxima. Additionally, several interesting probabilistic results are provided. Its results have finance applications, including pricing barrier and lookback options
The application of numerical Laplace inversion methods for type curve development in well testing: A comparative study
, Article Petroleum Science and Technology ; Volume 29, Issue 7 , 2011 , Pages 695-707 ; 10916466 (ISSN) ; Dejam, M ; Ghazanfari, M. H ; Sharif University of Technology
2011
Abstract
In this work the Fourier series and Zakian and Schapery methods are considered to numerically solve the Laplace transform of a pressure distribution equation for radial flow and to generate the type curves for three different boundary conditions. The results show that the Schapery method leads to approximate solutions for small values of dimensionless time. For large values, however, this method is almost accurate and hence is recommended because it is fast to apply compared to other algorithms. It has been found that the accuracy of the Schapery method for early time prediction can be improved to almost a perfect match with analytical results through multiplying the Schapery relation by a...
A stochastic well-test analysis on transient pressure data using iterative ensemble Kalman filter
, Article Neural Computing and Applications ; 2017 , Pages 1-17 ; 09410643 (ISSN) ; Adibifard, M ; Sharif University of Technology
Abstract
Accurate estimation of the reservoir parameters is crucial to predict the future reservoir behavior. Well testing is a dynamic method used to estimate the petro-physical reservoir parameters through imposing a rate disturbance at the wellhead and recording the pressure data in the wellbore. However, an accurate estimation of the reservoir parameters from well-test data is vulnerable to the noise at the recorded data, the non-uniqueness of the obtained match, and the accuracy of the optimization algorithm. Different stochastic optimization methods have been applied to this address problem in the literature. In this study, we apply the recently developed iterative ensemble Kalman filter in the...
A stochastic well-test analysis on transient pressure data using iterative ensemble Kalman filter
, Article Neural Computing and Applications ; Volume 31, Issue 8 , 2019 , Pages 3227-3243 ; 09410643 (ISSN) ; Adibifard, M ; Sharif University of Technology
Springer London
2019
Abstract
Accurate estimation of the reservoir parameters is crucial to predict the future reservoir behavior. Well testing is a dynamic method used to estimate the petro-physical reservoir parameters through imposing a rate disturbance at the wellhead and recording the pressure data in the wellbore. However, an accurate estimation of the reservoir parameters from well-test data is vulnerable to the noise at the recorded data, the non-uniqueness of the obtained match, and the accuracy of the optimization algorithm. Different stochastic optimization methods have been applied to this address problem in the literature. In this study, we apply the recently developed iterative ensemble Kalman filter in the...