Anticipative stochastic calculus with applications to financial markets
| dc.contributor.author | Pamen, Olivier Menoukeu | |
| dc.date.accessioned | 2010-03-17T10:19:33Z | |
| dc.date.available | 2010-03-17T10:19:33Z | |
| dc.date.issued | 2010-03-17T10:19:33Z | |
| dc.description.abstract | In this thesis, we study both local time and Malliavin calculus and their application to stochastic calculus and nance. In the rst part, we analyze three aspects of applications of local time. We rst focus on the existence of the generalized covariation process and give an approximation when it exists. Thereafter, we study the decomposition of ranked semimartingales. Lastly, we investigate an application of ranked semimartingales to nance and particularly pricing using Bid-Ask. The second part considers three problems of optimal control under asymmetry of information and also the uniqueness of decomposition of \Skorohod-semimartingales". First we look at the problem of optimal control under partial information, and then we investigate the uniqueness of decomposition of \Skorohod-semimartingales" in order to study both problems of optimal control and stochastic di erential games for an insider. | en_US |
| dc.identifier.uri | http://hdl.handle.net/10539/7713 | |
| dc.language.iso | en | en_US |
| dc.title | Anticipative stochastic calculus with applications to financial markets | en_US |
| dc.type | Thesis | en_US |