Roberts, Gareth O. (1988) Some boundary hitting problems for diffusion processes. PhD thesis, University of Warwick.

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Abstract

The thesis is split into two distinct parts. Part I deals with a stochastic control problem and its application to weak comparison results for solutions to stochastic differential equations, and in part II we look at properties of boundary hitting times for diffusion processes, and in particular, asymptotic approximations for their distribution functions. Each part has a number of work chapters which are, as far as possible, self-contained and each chapter contains its own introduction and reference section. Thus in this form, the thesis is designed to portray the development of the thesis with time, and it is hoped that this will make understanding easier.

Item Type:	Thesis (PhD)
Subjects:	Q Science > QA Mathematics
Library of Congress Subject Headings (LCSH):	Diffusion processes -- Mathematical models, Stochastic control theory, Stochastic differential equations, Brownian motion processes -- Mathematical models
Official Date:	September 1988
Dates:	Date Event September 1988 Submitted
Institution:	University of Warwick
Theses Department:	Department of Statistics
Thesis Type:	PhD
Publication Status:	Unpublished
Supervisor(s)/Advisor:	Jacka, Saul D.
Sponsors:	Science and Engineering Research Council (Great Britain)
Format of File:	pdf
Extent:	93 leaves
Language:	eng

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