Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.574999
Title: Itô corrections in stochastic equations
Author: Kelly, David
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 2012
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
This thesis contains two “projects”, both concerning the emergence of Itô corrections in stochastic equations. In the first project, we study Itô corrections in stochastic PDEs with multiscale structure. Namely, we show that a certain class of homogenisation systems display a correction of Itô type, when perturbed by a sufficiently irregular additive noise. In the second project, we look at Itô corrections for a general class of finite dimensional equations known as rough differential equations. Using a non-geometric theory of rough paths, we prove a generalised Itô-Stratonovich correction formula as well as a generalised Itô formula.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.574999  DOI: Not available
Keywords: QA Mathematics
Share: