Original title: Ornsteinův-Uhlenbeckův most
Translated title: Ornstein-Uhlenbeck bridge
Authors: Janák, Josef ; Dostál, Petr (referee) ; Maslowski, Bohdan (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: In the Thesis we study the Ornstein-Uhlenbeck Bridges. First, we recall the notion of the fractional Brownian motion and introduce stochastic integral of a deterministic function with respect to (fBm). We summarize the results on existence and uniqueness of a solutions to the autonomic linear stochastic di erential equations that are called the Ornstein-Uhlenbeck processes. We introduce the concept of the Gaussian Bridge and we derive its representation, which we use for obtaining the formula for Ornstein-Uhlenbeck Bridge. The results are applied to some special examples. In the last part of the Thesis we mention a nonanticipative representation of the bridge.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27648

Permalink: http://www.nusl.cz/ntk/nusl-282842


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses