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| Title: | Stochastic dynamic equations | |
| Author (s): | Sanyal, Suman, 1978- | |
| Advisor(s): | Bohner, Martin | |
| Issue Date: | 2008 | |
| Publisher: | Missouri University of Science and Technology | |
| Citation: | Sanyal, Suman. "Stochastic Dynamic Equations." Ph.D. Dissertation, Applied Mathematics, Missouri University of Science and Technology, 2008. | |
| Abstract: | "We propose a new area of mathematics, namely stochastic dynamic equations, which unifies and extends the theories of stochastic differential equations and stochastic difference equations. After giving a brief introduction to the theory of dynamic equations on time scales, we construct Brownian motion on isolated time scales and prove some of its properties. Then we define stochastic integrals on isolated time scales. The main contribution of this dissertation is to give explicit solutions of linear stochastic dynamic equations on isolated time scales. We illustrate the theoretical results for dynamic stock prices and Ornstein-Uhlenbeck dynamic equations. Finally we study almost sure asymptotic stability of stochastic dynamic equations and mean-square stability for stochastic dynamic Volterra type equations"--Abstract, p. iii. | |
| Type: | Thesis/Dissertation text | |
| Copyright Notice: | These materials are protected under copyright by the original author. | |
| Link to this page: | ||
| URL: | ||
| Full Text: |
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| title | Stochastic dynamic equations | |
| contributor.advisor | Bohner, Martin | |
| contributor.author | Sanyal, Suman, 1978- | |
| subject.LCSH | Brownian motion processes -- Mathematical models. | |
| subject.LCSH | Finance -- Mathematical models. | |
| subject.LCSH | Stochastic processes. | |
| date.issued | 2008 | |
| publisher | Missouri University of Science and Technology | |
| identifier.URI | ||
| identifier.citation | Sanyal, Suman. "Stochastic Dynamic Equations." Ph.D. Dissertation, Applied Mathematics, Missouri University of Science and Technology, 2008. | |
| identifier.oclc | 244249555 | |
| description | Vita. | |
| description | The entire thesis text is included in file. | |
| description | Title from title screen of thesis/dissertation PDF file (viewed August 21, 2008) | |
| description | Thesis (Ph. D.)--Missouri University of Science and Technology, 2008. | |
| description | Includes bibliographical references (p. 124-131). | |
| description | System requirements: Adobe Acrobat Reader; Internet browser. | |
| description | Mode of access: World Wide Web. | |
| description.abstract | "We propose a new area of mathematics, namely stochastic dynamic equations, which unifies and extends the theories of stochastic differential equations and stochastic difference equations. After giving a brief introduction to the theory of dynamic equations on time scales, we construct Brownian motion on isolated time scales and prove some of its properties. Then we define stochastic integrals on isolated time scales. The main contribution of this dissertation is to give explicit solutions of linear stochastic dynamic equations on isolated time scales. We illustrate the theoretical results for dynamic stock prices and Ornstein-Uhlenbeck dynamic equations. Finally we study almost sure asymptotic stability of stochastic dynamic equations and mean-square stability for stochastic dynamic Volterra type equations"--Abstract, p. iii. | |
| description. statementOfResponsibility | by Suman Sanyal. | |
| type | Thesis/Dissertation | |
| type.DCMIType | text | |
| rights | These materials are protected under copyright by the original author. | |
| language.ISO639-2 | eng | |
| format.extent | xi, 132 p. : ill., digital, PDF file. | |
| date.accessioned | 2008-06-12T17:34:32Z | |
| date.available | 2008-08-21T17:13:13Z | |
| identifier.persist.URI | ||
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