Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"stochastic calculus"”.
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The optional sampling theorem for partially ordered time processes and multiparameter stochastic calculus
Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Mathematics, 1979.
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The Martingale Approach to Financial Mathematics
… connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble …
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Calculus of Variations on Time Scales and Its Applications to Economics
… solved using the two separate theories of the calculus of variations on time scales. The next presentation will be of the solution of an adjustment model, for a specific form of a time scale, whose functional can only be optimized, using the existing theory, when written with the A operator. We …
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An examination and implementation of the libor market model
… deep mathematics from probability theory and stochastic calculus to build the model, and requiring a level of computer expertise to efficiently implement the computationally demanding requirments of the model. This dissertation intends to draw from a wide literature to bring into one body of …
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Stochastic modelling of financial markets with differential information
… have been concerned with using techniques of stochastic calculus to model financial markets in which different traders have access to different levels of information. This thesis aims to provide a coherent account of the various approaches that have been used to model financial markets with …
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Quantum Wiener chaos
… new proofs to the established theory of quantum stochastic calculus and new conditions for generating quantum stochastic cocycles and quantum stochastic evolutions. The corresponding quasifree case is also studied and the constructions extended to fit in that formalism. We construct the multiple …
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Quantum random walks
… of various quantum random walks to quantum stochastic cocycles defined on a Bosonic Fock space. We prove a quantum analogue of the Donsker invariance principle by invoking the so-called semigroup representation of quantum stochastic cocycles. In contrast to similar results by other authors …
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A framework for ship stability in a seastate using the state-space Fokker-Planck method
… compelling is when they interact with severe stochastic waves, resulting in a loss of stability and adversely affecting their operation. This can result in extreme motions, at the very least making life difficult for crew, to potentially the most catastrophic events capsize, and loss of cargo …
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Deterministic and Stochastic Bellman's Optimality Principles on Isolated Time Domains and Their Applications in Finance
… making problems both in deterministic and stochastic cases; either finite or infinite time horizon. This thesis is comprised of five chapters where the major objective is to study both deterministic and stochastic dynamic programming models in finance. <br /> In the first chapter, we give a …
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Cagan Type Rational Expectations Model on Time Scales with Their Applications to Economics
… only contain uniform time domains. Time scale calculus enables us to study on m-periodic time domains as well as non periodic time domains. In the first chapter, we give basics of time scales calculus and stochastic calculus. The second chapter is the brief introduction to rational expectations …
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Achieving baseline states in sparsely connected spiking-neural networks: stochastic and dynamic approaches in mathematical neuroscience
… can be gained analytically, using methods from stochastic calculus and dynamical systems theory. This can be complemented by data generated from computational simulations of these models, most of which benefit easily from parallelisation. One cubic millimetre of mammalian cortical tissue can …
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Two Random Multiplicative Processes: Multiplicative Cascades and Eigenvectors of the Random Schrodinger Operator
… processes we develop the infinite-dimensional stochastic calculus that describes the evolution of the measure process, and use it to compute the optimal Holder exponent in the Wasserstein distance on measures.In the second chapter, we focus on the eigenvectors of the one-dimensional discrete …
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
This thesis is organized into three chapters: In the first chapter, we introduce the changes that have occurred in the fixed-income market due to the credit crisis in 2007–2008. We then discuss the impact of this crisis on the pre-crisis relation between zero-coupon bonds and forward rate …
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Stochastic processes in T-cell signaling
… are ubiquitous in biochemical networks, due to stochastic nature of reactions and uncertainties in protein expressions. The prevalence of noise imposes further challenges for T cells to deliver biological functions reliably. The overarching theme of this thesis is to understand the role of …
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Real Options Models in Real Estate
Our aim in this thesis is to investigate the usefulness of real options analysis, taking case studies of problems in real estate. In the realm of real estate, we consider the following three problems. First, we consider the valuation and usefulness of presale contracts of condominiums, which can be …