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Showing 1 to 2 of 2 for “"Stochastische Differentialgleichung"”.
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The Symbol of a Markov Semimartingale
We prove that every (nice) Feller process is an It^o process in the sense of Cinlar, Jacod, Protter and Sharpe (1980). Next we generalize the notion of the symbol and define it for this larger class of processes. As examples the solutions of stochastic differential equations are considered. The …
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Stochastic Control, Optimal Saving, and Job Search in Continuous Time
Economic uncertainty may affect significantly people’s behavior and hence macroeconomic variables. It is thus important to understand how people behave in presence of different kinds of economic risk. The present dissertation focuses therefore on the impact of the uncertainty in capital and labor …