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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Bibliographic Details
Main Author: Janák, Josef
Other Authors: Dostál, Petr
Format: Dissertation
Language:Czech
Published: 2009
Online Access:http://www.nusl.cz/ntk/nusl-282842