Random Time Change and Some Applications
Metadata Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kallenberg, Olav H. | |
dc.contributor.author | Peterson, Amy | |
dc.date.accessioned | 2014-04-25T14:55:31Z | |
dc.date.available | 2014-04-25T14:55:31Z | |
dc.date.issued | 2014-04-25 | |
dc.identifier.uri | http://hdl.handle.net/10415/4056 | |
dc.description.abstract | This thesis is a survey of known results concerning random time change and its applications. It will cover basic probabilistic concepts and then follow with a detailed look at major results in several branches of probability all concerning random time change. The first of these major results is a theorem on how an increasing process adapted to a filtration can be used to transform the time scale and filtration. Next we show how an arbitrary continuous local martingale can be changed into a Brownian motion. We then show that a simple point process can be changed into a Poisson process using a random time change. Lastly, we look at an application of random time change to create solutions of stochastic differential equations. | en_US |
dc.rights | EMBARGO_NOT_AUBURN | en_US |
dc.subject | Mathematics and Statistics | en_US |
dc.title | Random Time Change and Some Applications | en_US |
dc.type | thesis | en_US |
dc.embargo.length | NO_RESTRICTION | en_US |
dc.embargo.status | NOT_EMBARGOED | en_US |