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Thesis

Particle systems and stochastic PDEs on the half-line

Abstract:

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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Institution:
University of Oxford
Research group:
Stochastic analysis
Oxford college:
St John's College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

Contributors

Role:
Supervisor
Publication date:
2015
Type of award:
DPhil
Level of award:
Doctoral
URN:
uuid:c46f36ee-debd-429c-80ce-d2c7e251fb83
Local pid:
ora:12445

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