Ornsteinův-Uhlenbeckův most
In the Thesis we study the Ornstein-Uhlenbeck Bridges. First, we recall the notion of the fractional Brownian motion and introduce stochastic integral of a deterministic function with respect to (fBm). We summarize the results on existence and uniqueness of a solutions to the autonomic linear stocha...
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Format: | Dissertation |
Language: | Czech |
Published: |
2009
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Online Access: | http://www.nusl.cz/ntk/nusl-282842 |