The Time-Changed Q-Wiener Process and Associated Stochastic Differential Equations

Chlebak, Lise.
2017-04-19T18:06:21.626Z

Abstract: The general narrative of this work involves constructing the time-changed Q-Wiener process and comparing it to the usual Q-Wiener process. Unlike its non-time-changed counterpart, the time-changed Q-Wiener process lacks the nice properties of having stationary and independent increments. Thus, we must turn to the martingale property of the time-changed Q-Wiener process in order to recove... read more

Subjects
Tufts University. Department of Mathematics.
Permanent URL
http://hdl.handle.net/10427/011720
ID: tufts:21196
To Cite: DCA Citation Guide