Some Harvesting Problems
| dc.contributor.author | Ranya Hamid El Nour | |
| dc.date.accessioned | 2018-10-02T09:52:19Z | |
| dc.date.available | 2018-10-02T09:52:19Z | |
| dc.date.issued | 2015-07 | |
| dc.description.abstract | ABSTRACT. The aim of this thesis is to study and solve optimal control problems for systems driven by both: Brownian motion and Levy processes. The methods of solution used are: Dynamic programming, and Maximum principle where the known Clark-Ocone theorem is applied. The application of Clark-Ocone theorem needs the existence of Malliavin derivative and its extesion in L2 spaces. As an application , the thesis considered an example of harvesting problem in a crowded media as well as searching for optimal portfolio strategies in hedging options in markets driven by both: Brovmian motion and Levy processes. | en_US |
| dc.description.sponsorship | Prof! Ismail Hamid Elsanousi | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/13032 | |
| dc.language.iso | en | en_US |
| dc.publisher | Alneelain University | en_US |
| dc.subject | Mathematics | en_US |
| dc.title | Some Harvesting Problems | en_US |
| dc.type | Thesis | en_US |