| dc.contributor.advisor | Maslowski, Bohdan | |
| dc.creator | Janák, Josef | |
| dc.date.accessioned | 2017-04-20T16:51:50Z | |
| dc.date.available | 2017-04-20T16:51:50Z | |
| dc.date.issued | 2009 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11956/27648 | |
| dc.description.abstract | In the Thesis we study the Ornstein-Uhlenbeck Bridges. First, we recall the notion of the fractional Brownian motion and introduce stochastic integral of a deterministic function with respect to (fBm). We summarize the results on existence and uniqueness of a solutions to the autonomic linear stochastic di erential equations that are called the Ornstein-Uhlenbeck processes. We introduce the concept of the Gaussian Bridge and we derive its representation, which we use for obtaining the formula for Ornstein-Uhlenbeck Bridge. The results are applied to some special examples. In the last part of the Thesis we mention a nonanticipative representation of the bridge. | en_US |
| dc.language | Čeština | cs_CZ |
| dc.language.iso | cs_CZ | |
| dc.publisher | Univerzita Karlova, Matematicko-fyzikální fakulta | cs_CZ |
| dc.title | Ornsteinův-Uhlenbeckův most | cs_CZ |
| dc.type | diplomová práce | cs_CZ |
| dcterms.created | 2009 | |
| dcterms.dateAccepted | 2009-09-14 | |
| dc.description.department | Department of Probability and Mathematical Statistics | en_US |
| dc.description.department | Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.description.faculty | Faculty of Mathematics and Physics | en_US |
| dc.description.faculty | Matematicko-fyzikální fakulta | cs_CZ |
| dc.identifier.repId | 48070 | |
| dc.title.translated | Ornstein-Uhlenbeck bridge | en_US |
| dc.contributor.referee | Dostál, Petr | |
| dc.identifier.aleph | 001171333 | |
| thesis.degree.name | Mgr. | |
| thesis.degree.level | navazující magisterské | cs_CZ |
| thesis.degree.discipline | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| thesis.degree.discipline | Probability, mathematical statistics and econometrics | en_US |
| thesis.degree.program | Matematika | cs_CZ |
| thesis.degree.program | Mathematics | en_US |
| uk.thesis.type | diplomová práce | cs_CZ |
| uk.taxonomy.organization-cs | Matematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| uk.taxonomy.organization-en | Faculty of Mathematics and Physics::Department of Probability and Mathematical Statistics | en_US |
| uk.faculty-name.cs | Matematicko-fyzikální fakulta | cs_CZ |
| uk.faculty-name.en | Faculty of Mathematics and Physics | en_US |
| uk.faculty-abbr.cs | MFF | cs_CZ |
| uk.degree-discipline.cs | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| uk.degree-discipline.en | Probability, mathematical statistics and econometrics | en_US |
| uk.degree-program.cs | Matematika | cs_CZ |
| uk.degree-program.en | Mathematics | en_US |
| thesis.grade.cs | Výborně | cs_CZ |
| thesis.grade.en | Excellent | en_US |
| uk.abstract.en | In the Thesis we study the Ornstein-Uhlenbeck Bridges. First, we recall the notion of the fractional Brownian motion and introduce stochastic integral of a deterministic function with respect to (fBm). We summarize the results on existence and uniqueness of a solutions to the autonomic linear stochastic di erential equations that are called the Ornstein-Uhlenbeck processes. We introduce the concept of the Gaussian Bridge and we derive its representation, which we use for obtaining the formula for Ornstein-Uhlenbeck Bridge. The results are applied to some special examples. In the last part of the Thesis we mention a nonanticipative representation of the bridge. | en_US |
| uk.file-availability | V | |
| uk.publication.place | Praha | cs_CZ |
| uk.grantor | Univerzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.identifier.lisID | 990011713330106986 | |
