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Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process
The mixture of Wiener and a Poisson processes are the primary tools used in creating jump-diffusion process which is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology mode...
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2017
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| _version_ | 1867613307680063488 |
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| access_status_str | Open Access |
| author | Nass, Aminu Ma'aruf |
| author2 | Fredericks, Ebrahim |
| author_browse | Fredericks, Ebrahim Nass, Aminu Ma'aruf |
| author_facet | Fredericks, Ebrahim Nass, Aminu Ma'aruf |
| author_sort | Nass, Aminu Ma'aruf |
| collection | Thesis |
| description | The mixture of Wiener and a Poisson processes are the primary tools used in creating jump-diffusion process which is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology modeling and population dynamics. In this thesis, we extended the Lie point symmetry theory of deterministic differential equations to the class of jump-diffusion stochastic differential equations, i.e., a stochastic process driven by both Wiener and Poisson processes. The Poisson process generates the jumps whereas the Brownian motion path is continuous. The determining equations for a stochastic differential equation with finite jump are successfully derived in an Itô calculus context and are found to be deterministic, even though they represent a stochastic process. This work leads to an understanding of the random time change formulae for Poisson driven process in the context of Lie point symmetries without having to consult much of the intense Itô calculus theory needed to formally derive it. We apply the invariance methodology of Lie point transformation together with the more generalized Itô formulae, without enforcing any conditions to the moments of the stochastic processes to derive the determining equations and apply it to few models. In the first part of the thesis, point symmetry of Poisson-driven stochastic differential equations is discussed, by considering the infinitesimals of not only spatial and temporal variables but also infinitesimals of the Poisson process variable. This was later extended, in the second part, to define the symmetry of jumpdiffusion stochastic differential equations (i.e., stochastic differential equations driven by both Wiener and Poisson processes). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/25387 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:03.682Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/25387 Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process Nass, Aminu Ma'aruf Fredericks, Ebrahim Mathematics and Appplied Mathematics The mixture of Wiener and a Poisson processes are the primary tools used in creating jump-diffusion process which is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology modeling and population dynamics. In this thesis, we extended the Lie point symmetry theory of deterministic differential equations to the class of jump-diffusion stochastic differential equations, i.e., a stochastic process driven by both Wiener and Poisson processes. The Poisson process generates the jumps whereas the Brownian motion path is continuous. The determining equations for a stochastic differential equation with finite jump are successfully derived in an Itô calculus context and are found to be deterministic, even though they represent a stochastic process. This work leads to an understanding of the random time change formulae for Poisson driven process in the context of Lie point symmetries without having to consult much of the intense Itô calculus theory needed to formally derive it. We apply the invariance methodology of Lie point transformation together with the more generalized Itô formulae, without enforcing any conditions to the moments of the stochastic processes to derive the determining equations and apply it to few models. In the first part of the thesis, point symmetry of Poisson-driven stochastic differential equations is discussed, by considering the infinitesimals of not only spatial and temporal variables but also infinitesimals of the Poisson process variable. This was later extended, in the second part, to define the symmetry of jumpdiffusion stochastic differential equations (i.e., stochastic differential equations driven by both Wiener and Poisson processes). 2017-09-26T14:50:04Z 2017-09-26T14:50:04Z 2017 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/25387 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Appplied Mathematics Nass, Aminu Ma'aruf Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| thesis_degree_str | Doctoral |
| title | Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| title_full | Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| title_fullStr | Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| title_full_unstemmed | Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| title_short | Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process |
| title_sort | point symmetry methods for ito stochastic differential equations sde with a finite jump process |
| topic | Mathematics and Appplied Mathematics |
| url | http://hdl.handle.net/11427/25387 |
| work_keys_str_mv | AT nassaminumaaruf pointsymmetrymethodsforitostochasticdifferentialequationssdewithafinitejumpprocess |