Smoluchowski-Kramers approximation for stochastic equations with Lévy-noise
Abstract
A generalization of Smoluchowski-Kramers approximation to Lévy processes is given. It is proved that an analogue of the result in the classic Brownian motion case holds. A momentum model is proposed by applying this result to the financial market. Finally, a partial result of the Smolcuchowski-Kramers approximation in the infinite dimensional case is given.
Degree
Ph.D.
Advisors
Roeckner, Purdue University.
Subject Area
Applied Mathematics
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