Thesis
Particle systems and stochastic PDEs on the half-line
- Abstract:
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The purpose of this thesis is to develop techniques for analysing interacting particle systems on the half-line. When the number of particles becomes large, stochastic partial differential equations (SPDEs) with Dirichlet boundary conditions will be the natural objects for describing the dynamics of the population's empirical measure.
As a source of motivation, we consider systems that arise naturally as models for the pricing of portfolio credit derivatives, although similar applic...
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Funding
+ Engineering & Physical Sciences Research Council
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Funding agency for:
Sean Ledger
Bibliographic Details
- Publication date:
- 2015
- Type of award:
- DPhil
- Level of award:
- Doctoral
- URN:
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uuid:c46f36ee-debd-429c-80ce-d2c7e251fb83
- Local pid:
- ora:12445
Item Description
- Language:
- English
- Keywords:
- Subjects:
Terms of use
- Copyright holder:
- Sean Ledger
- Copyright date:
- 2015
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