Search for dissertations about: "Ito calculus"

Found 3 swedish dissertations containing the words Ito calculus.

  1. 1. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

    Author : José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; statistik; Statistics;

    Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE

  2. 2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Author : Raul Tempone Olariaga; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

    Abstract : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. READ MORE

  3. 3. A class of infinite dimensional stochastic processes with unbounded diffusion and its associated Dirichlet forms

    Author : John Karlsson; Jörg-Uwe Löbus; Torkel Erhardsson; Hans-Jürgen Engelbert; Linköpings universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of two papers which focuses on a particular diffusion type Dirichlet form  where  Here  is the basis in the Cameron-Martin space, H, consisting of the Schauder functions, and ν denotes the Wiener measure.In Paper I, we let  vary over the space of wiener trajectories in a way that the diffusion operator A is almost everywhere an unbounded operator on the Cameron–Martin space. READ MORE