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Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions./
Author:	Chen, Tao.
Description:	1 online resource (150 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-03(E), Section: B.
Contained By:	Dissertation Abstracts International78-03B(E).
Subject:	Applied mathematics. -
Online resource:	click for full text (PQDT)
ISBN:	9781369287028

Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions.
Chen, Tao.

Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions. - 1 online resource (150 pages)

Source: Dissertation Abstracts International, Volume: 78-03(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

This thesis consists of two major parts, and it contributes to the fields of mathematical finance and statistics.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369287028Subjects--Topical Terms:

1069907
Applied mathematics.
Index Terms--Genre/Form:

554714
Electronic books.

Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions.
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035 $a (MiAaPQ)AAI10174176
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035 $a AAI10174176
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Chen, Tao. $3 1138668
245 1 0 $a Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions.
264 0 $c 2016
300 $a 1 online resource (150 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-03(E), Section: B.
500 $a Advisers: Tomasz R. Bielecki; Igor Cialenco.
502 $a Thesis (Ph.D.) $c Illinois Institute of Technology $d 2016.
504 $a Includes bibliographical references
520 $a This thesis consists of two major parts, and it contributes to the fields of mathematical finance and statistics.
520 $a The contribution to mathematical finance is made via developing new theoretical results in the area of conic finance. Specifically, we have advanced dynamic aspects of conic finance by developing an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities using the theory of dynamic acceptability indices. This has been done within the framework of general probability spaces and discrete time. In the process, we have advanced the theory of dynamic sub-scale invariant performance measures. In particular, we proved a representation theorem of such measures in terms of a family of dynamic convex risk measures, and provided a representation of dynamic risk measures in terms of BSDeltaEs.
520 $a The contribution to statistics is of fundamental importance as it initiates the theory underlying recursive computation of confidence regions for finite dimensional parameters in the context of stochastic dynamical systems. In the field of engineering, particularly in the field of control engineering, the area of recursive point estimation came to great prominence in the last forty years. However, there has been no work done with regard to recursive computation of confidence regions. To partially fill this gap, the second part of the thesis is devoted to recursive construction of confidence regions for parameters characterizing the one-step transition kernel of a time-homogeneous Markov chain.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Applied mathematics. $3 1069907
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0364
690 $a 0463
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Illinois Institute of Technology. $b Applied Mathematics. $3 1179107
773 0 $t Dissertation Abstracts International $g 78-03B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10174176 $z click for full text (PQDT)