Infinite dimensional stochastic calculus via regularization with financial motivations

Di Girolami, Cristina (2010) Infinite dimensional stochastic calculus via regularization with financial motivations. Tesi di Dottorato, LUISS Guido Carli - Université Paris 13, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Fausto Gozzi and Francesco Russo, p. 130. [Doctoral Thesis]

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Abstract/Index

Calculus via regularization. [chi]-quadratic variation. Evaluations of [chi]-quadratic variations. Stability of [chi]-quadratic variation and of [chi]-covariation. Ito's formula. A generalized Clark-Ocone formula.

References

Bibliografia: pp. 125-129.

Item Type: Doctoral Thesis (PhD)
Research documents and activity classification: LUISS PhD Thesis
Divisions: Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance
Thesis Advisor: Gozzi, Fausto and Russo, Francesco
Additional Information: Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XX ciclo), LUISS Guido Carli, Roma, 2010. Relatore: Prof. Fausto Gozzi, Correlatore: Prof. Francesco Russo.
Uncontrolled Keywords: Quadratic variation.
MIUR Scientific Area: Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance
Deposited by: Maria Teresa Nistico
Date Deposited: 19 Jul 2010 15:57
Last Modified: 22 Apr 2015 00:13
URI: http://eprints.luiss.it/id/eprint/682

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