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.
Results
Showing 1 to 5 of 5 for “"stochastic integration"”.
-
A new theory of stochastic integration
… we focus mainly on the further study of the new stochastic integral introduced by Ayed and Kuo in 2008. Several properties of this new stochastic integral are obtained. We first introduce the concept of near-martingale for non-adapted stochastic processes. This concept is a generalization of the …
-
The new stochastic integral and anticipating stochastic differential equations
In this work, we develop further the theory of stochastic integration of adapted and instantly independent stochastic processes started by Wided Ayed and Hui-Hsiung Kuo in [1,2]. We provide a first counterpart to the Itô isometry that accounts for both adapted and instantly independent …
-
Modelling financial time series using discrete and continuous paradigms
… the Diffusion process, which is described by a stochastic differential equation. Consequently, we will take a look at some of the basic results in stochastic analysis, in particular stochastic integration with respect to Brownian motion. The last part of this study will focus on estimating the …
-
An Exponential Formula for Random Variables Generated by Multiple Brownian Motions
… is still out of reach, but we hope our review of stochastic integration for fractional Brownian motion and our results for the later will provide a framework. Examining the case of d-dimensional Brownian motion in general, and two-dimensional Brownian motions in specific, have led to a number of …
-
Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis
… and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental …