Yukhnovskiy Y. Functional limit theorems for stochastic integrals with respect to semimartingales and their application to the problems of financial investment.

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0412U000163

Thesis Registration Form

0412U000163.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

23-01-2012

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

The Thesis is devoted to the investigation of conditions ensuring convergence of stochastic integrals with respect to the semimartingales. The conditions are formulated in terms of any fixed decomposition of semimartingale on a martingale and a process of bounded variation. The functional limit theorems are applied to the problem of limit behavior of capitals, contingent claims and the strategies. Recurrent relations for the strategies minimizing local quadratic risk in the multidimensional models of financial market with discrete time are obtained.

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Files

Dis.pdf

aref.doc

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