Ol'tsik Y. Stochastic analysis of processes and fields by means of martingale methods

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0499U001179

Thesis Registration Form

0499U001179.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

24-05-1999

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

The dissertation is devoted to the problems of the existence of local times and optimal stopping times for stochastic procecesses and fields. The existence of the local time for twoparameter purely discontinuous stronf martingales is proved, and such their proprties as continutiand of finite moments are investigated by means of protentail theory. Two theories of finding of optimal stopping times for stochastic processes are constructed and applied to the soving of financial problems of optimal switching for different types of stochastic differential equations.

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