Itô corrections in stochastic equations
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,...
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University of Warwick
2012
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ndltd-bl.uk-oai-ethos.bl.uk-5749992015-12-03T03:41:57ZItô corrections in stochastic equationsKelly, David2012This 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.510QA MathematicsUniversity of Warwickhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.574999http://wrap.warwick.ac.uk/54945/Electronic Thesis or Dissertation |
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NDLTD |
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510 QA Mathematics |
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510 QA Mathematics Kelly, David Itô corrections in stochastic equations |
| description |
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. |
| author |
Kelly, David |
| author_facet |
Kelly, David |
| author_sort |
Kelly, David |
| title |
Itô corrections in stochastic equations |
| title_short |
Itô corrections in stochastic equations |
| title_full |
Itô corrections in stochastic equations |
| title_fullStr |
Itô corrections in stochastic equations |
| title_full_unstemmed |
Itô corrections in stochastic equations |
| title_sort |
itô corrections in stochastic equations |
| publisher |
University of Warwick |
| publishDate |
2012 |
| url |
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.574999 |
| work_keys_str_mv |
AT kellydavid itocorrectionsinstochasticequations |
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