Zubchenko V. Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitz diffusion and Poisson measures

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0412U000953

Thesis Registration Form

0412U000953.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

18-04-2012

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

The thesis work is devoted to studying properties of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measures. The probability of the solution of equation of such type to become non-positive is estimated. Conditions of existence of non-negative solution for the equation of such type are pointed out. We investigate limit behavior of the integral functional of the solution of equation with non-Lipschitz diffusion and centered Poisson measure, study the rate of convergence of the Euler scheme.

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Files

aref.doc

ths.pdf

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