Stochastic Differential Equations and Strict Local Martingales
In this thesis, we address two problems arising from the application of stochastic differential equations (SDEs). The first one pertains to the detection of asset bubbles, where the price process solves an SDE. We combine the strict local martingale model together with a statistical tool to instanta...
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| Language: | English |
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2018
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| Online Access: | https://doi.org/10.7916/D8F4911Q |