On probability distributions of diffusions and financial models with non-globally smooth coefficients
Some recent works in the field of mathematical finance have brought new light on the importance of studying the regularity and the tail asymptotics of distributions for certain classes of diffusions with non-globally smooth coefficients. In this Ph.D. dissertation we deal with some issues in this fr...
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| Language: | English |
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Université Paris-Est
2010
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| Online Access: | http://tel.archives-ouvertes.fr/tel-00588686 http://tel.archives-ouvertes.fr/docs/00/58/86/86/PDF/TH2010PEST1017_complete.pdf |