Semimartingales, Markov processes and their applications in mathematical finance
Degree: PhD, Mathematics, 2010, Rutgers University
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▼ We show that the marginal distribution of a semimartingale can be matched by a Markov process. This is an extension of Gyngy’s theorem to discontinuous semimartingale.
Advisors/Committee Members: Wang, Jin (author), Feehan, Paul (chair), OCONE, DAN (internal member), Gundy, Richard(internal member), DASKALOPOULOS, PANAGIOTA (outside member).
Subjects/Keywords: Semimartingales (Mathematics); Markov processes – Numerical solutions; Derivative securities – Prices – Mathematical models