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Showing 1 to 3 of 3 for “"Ito integral"”.
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The required ansatz to construct Lie point transformations and the symmetries of a first-order stochastic differential equation
… one of the building factors to this study is an Ito integral. These Ito integrals are of much use, for instance, in the field of mathematical finance whereby its use has shown the relationship between call options and their non-deterministic underlying stock prices. Wiener processes must be …
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On moment conditions for the Girsanov Theorem
In this dissertation, the well-known Girsanov Theorem will be proved under a set of moment conditions on exponential processes. Our conditions are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory …
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The new stochastic integral and anticipating stochastic differential equations
… several Itô formulas for the new stochastic integral. Finally, we apply the new Itô formula to solve a linear stochastic differential equations with anticipating initial conditions.