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:
Ledger, S
Bibliographic Details
- Publication date:
- 2015
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
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uuid:c46f36ee-debd-429c-80ce-d2c7e251fb83
- Local pid:
- ora:12445
- Deposit date:
- 2016-04-26
Terms of use
- Copyright holder:
- Ledger, S
- Copyright date:
- 2015
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