The purpose of the thesis is to provide a useful concept in the framework of stochastic analysis applicable in finance. The thesis offers proof for Doob- Meyer theorem for boundend martingales which is then extended for local martingales. It also proves the strong Markov theorem for Wiener process and some of its significant consequences. The built framework is then used for creating a method for solution of different tasks in applied finance. 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:404979 |
| Date | January 2019 |
| Creators | Petrášová, Libuša |
| Contributors | Dostál, Petr, Maslowski, Bohdan |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0022 seconds