Identifier

etd-04082014-202541

Degree

Doctor of Philosophy (PhD)

Department

Mathematics

Document Type

Dissertation

Abstract

The celebrated Ito theory of stochastic integration deals with stochastic integrals of adapted stochastic processes. The Ito formula and Girsanov theorem in this theory are fundamental results which are used in many applied fields, in particular, the finance and the stock markets, e.g. the Black-Scholes model. In chapter 1 we will briefly review the Ito theory. In recent years, there have been several extension of the Ito integral to stochastic integrals of non-adapted stochastic processes. In this dissertation we will study an extension initiated by Ayed and Kuo in 2008. In Chapter 2 we review this new stochastic integral and some results. In chapter 3, we prove the Ito formula for the Ayed-Kuo integral. In chapter 4, we prove the Girsanov theorem for this new stochastic integral. In chapter 5, we present an application of our results.

Date

2014

Document Availability at the Time of Submission

Release the entire work immediately for access worldwide.

Committee Chair

Kuo, Hui-Hsiung

DOI

10.31390/gradschool_dissertations.4035

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