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Local Brownian motions

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thesis
posted on 04.08.2020, 07:58 by EDUARD BICHE
In this thesis, stochastic processes closely related to a prominent process called Brownian motion is introduced. The processes are called local Brownian motions. Two rich families are constructed, which can be used to model stochastic dynamical systems in such fields as finance, biology, and physics. Stochastic calculus with respect to local Brownian motion is developed, and strong solutions are presented for some stochastic differential equations driven by the noise generated by local Brownian motions.

History

Principal supervisor

Kais Hamza

Year of Award

2020

Department, School or Centre

Mathematics

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Science