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, Université Paris 13 - LUISS Guido Carli, 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 |
| Deposited On: | 19 Jul 2010 17:57 |
| Last Modified: | 20 Jul 2010 10:10 |
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