dc.date.accessioned | 2013-03-12T08:21:57Z | |
dc.date.available | 2013-03-12T08:21:57Z | |
dc.date.issued | 2009 | en_US |
dc.date.submitted | 2009-12-13 | en_US |
dc.identifier.citation | Nilssen, Torstein. Theory of (non-linear) Stochastic Partial Differential Equations and its Applications to Interest Rates. Masteroppgave, University of Oslo, 2009 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10773 | |
dc.description.abstract | The aim of this Thesis is to study Stochastic Partial Differential Equations (SPDEs) by regarding the SPDE as a Stochastic Differential Equation taking values in an infinite-dimensional space, i.e. a space of functions.
To do this, one must first build an integration theory for functions with values in an infinite-dimensional space. The weapon of choice in this Thesis is the Pettis integral in which the integral is build around studying one-dimensional projections. Stochastic integration is done with respect to cylindrical Brownian motion.
After this is done, the Thesis studies existence and uniqueness of linear and non-linear SPDEs and a result on semi-linear backward SPDEs is also proved.
Finally, the Thesis studies applications to interest rates. The starting point is the Heath-Jarrow-Morton model, but this is generalized by considering infinitely many sources of noise. | eng |
dc.language.iso | eng | en_US |
dc.title | Theory of (non-linear) Stochastic Partial Differential Equations and its Applications to Interest Rates | en_US |
dc.type | Master thesis | en_US |
dc.date.updated | 2012-03-11 | en_US |
dc.creator.author | Nilssen, Torstein | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Nilssen, Torstein&rft.title=Theory of (non-linear) Stochastic Partial Differential Equations and its Applications to Interest Rates&rft.inst=University of Oslo&rft.date=2009&rft.degree=Masteroppgave | en_US |
dc.identifier.urn | URN:NBN:no-25607 | en_US |
dc.type.document | Masteroppgave | en_US |
dc.identifier.duo | 97835 | en_US |
dc.contributor.supervisor | Frank Proske | en_US |
dc.identifier.bibsys | 120519607 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10773/1/NilsenTorsteinMaster.pdf | |