4 documents found

Dissertation
All rights reserved
2020

Solutions to the SEP and position control problems using FBSDEs and simulation...

We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form At = µ(t,At)dt + σ(t,At)dWt. We provide sufficient conditions guaranteeing that for a given probability measure ν on the real numbers there exists...
Master thesis
CC BY 4.0
2020

Risikoneutrale Bewertung unter rauer Volatilität

Historische und aktuelle Marktdaten lassen darauf schließen, dass die klassische Annahme einer konstanten Volatilität für die meisten Assets zu stark vereinfachend ist. Stattdessen scheint auch die Volatilität selbst ein stochastischer Prozess zu sein. Im Rahmen dieser Arbeit wird anhand von zwei Datensätzen...
Master thesis
All rights reserved
2019-04-04

The maximum principle and controlled diffusion

The objective of this master thesis is to solve a controlled diffusion problem via Pontryagin's maximum principle. To that end, we review in the first part basic notions that are relevant for the course of this thesis. In the second part, we study a controlled diffusion problem, in which one completely...
Dissertation
CC BY 3.0
2018

Optimal stopping problems with expectation constraints

In this thesis we investigate optimal stopping problems with expectation cost constraints. We focus on reducing the set of stopping times as well as on deriving a partial differential equation for the value function. If the process to stop is a time-homogeneous Ito-process, we show, by introducing a...