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Semimartingales, Markov processes and their applications in mathematical finance
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Wang, Jin. Semimartingales, Markov processes and their applications in mathematical finance. Retrieved from https://doi.org/doi:10.7282/T34749KM

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TitleSemimartingales, Markov processes and their applications in mathematical finance
NameWang, Jin (author); Feehan, Paul (chair); OCONE, DAN (internal member); Gundy, Richard (internal member); DASKALOPOULOS, PANAGIOTA (outside member); Rutgers University; Graduate School - New Brunswick
Date Created2010
Other Date2010-10 (degree)
SubjectMathematics, Semimartingales (Mathematics), Markov processes--Numerical solutions, Derivative securities--Prices--Mathematical models
Extentvi, 74 p.
DescriptionWe 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.
NotePh.D.
NoteIncludes bibliographical references
NoteIncludes vita
Noteby Jin Wang
Genretheses, ETD doctoral
Persistent URLhttps://doi.org/doi:10.7282/T34749KM
Languageeng
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.
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