Overmars, Nigel (2018) Differential equations driven by irregular signals. Bachelor's Thesis, Mathematics.
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Abstract
In this thesis we will develop a theory that allows us to solve differential equations driven by irregular signals. With fractional Brownian motions in our mind, we use the Young integration theory to determine when we can expect existence and/or uniqueness of such equations. We will also solve some equations, both numerically and explicit. Finally, we discuss an extension of the standard Black-Scholes model and show how it not suitable for praxis in the basic form.
| Item Type: | Thesis (Bachelor's Thesis) |
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| Supervisor name: | Rodrigues Valesin, D. and Enter, A.C.D. van |
| Degree programme: | Mathematics |
| Thesis type: | Bachelor's Thesis |
| Language: | English |
| Date Deposited: | 29 Aug 2018 |
| Last Modified: | 06 Sep 2018 12:26 |
| URI: | https://fse.studenttheses.ub.rug.nl/id/eprint/18455 |
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