Tomashyk V. Limit theorems for the optimal stopping times of the stochastic processes

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0414U006000

Thesis Registration Form

0414U006000.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

22-12-2014

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

For the geometric Brownian motion with coefficients depending on a parameter and reward function with discounting the convergence in probability of the optimal stopping times is proved. Novikov-Shyryaev problem for the random walk with a drift to the left and polynomial reward function is solved. The uniform convergence in probability of the processes and convergence in probability of their hitting times are proved in the models generated by solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure.

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Files

aref.pdf

dis.pdf

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