Topics in Stochastic Analysis and Control
dc.contributor.author | Zhang, Xin | |
dc.date.accessioned | 2021-06-08T23:07:59Z | |
dc.date.available | 2021-06-08T23:07:59Z | |
dc.date.issued | 2021 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/167918 | |
dc.description.abstract | In this dissertation, problems in stochastic analysis and control are investigated, which include mathematical finance, online learning, and mean field game. For math- ematical finance, 1) a martingale optimal transport problem with bounded volatility is studied, which allows to calibrate not only current observation (option prices) but also historical data (stock prices); see Chapter II, 2) the embedding problem in multi-dimension is solved via excursion theory in probability; see Chapter III, 3) size of most stable subgraphs of random graphs, k-core, is determined by using branching processes; see Chapter IV. For online learning, 1) an unprecedented solution to the 4-expert problem with finite stopping is provided, via an explicit construction of the solution to a nonlinear partial differential equation; see Chapter V 2) prediction prob- lems with a limited adversary are studied using partial differential equation tools; see Chapter VI and VII. For mean field game, 1) the convergence phenomenon of N + 1- player Nash equilibrium is studied by the entropy solution to scalar conservative laws; see Chapter VIII, 2) infinite horizon mean field type control and game are solved via McKean-Vlasov forward backward stochastic differential equations; see Chapter IX. | |
dc.language.iso | en_US | |
dc.subject | stochastic analysis and control | |
dc.subject | online learning | |
dc.subject | mean field game | |
dc.subject | random graph | |
dc.subject | optimal transport | |
dc.title | Topics in Stochastic Analysis and Control | |
dc.type | Thesis | |
dc.description.thesisdegreename | PhD | en_US |
dc.description.thesisdegreediscipline | Mathematics | |
dc.description.thesisdegreegrantor | University of Michigan, Horace H. Rackham School of Graduate Studies | |
dc.contributor.committeemember | Bayraktar, Erhan | |
dc.contributor.committeemember | Stoev, Stilian Atanasov | |
dc.contributor.committeemember | Cohen, Asaf | |
dc.contributor.committeemember | Conlon, Joseph G | |
dc.contributor.committeemember | Young, Virginia R | |
dc.subject.hlbsecondlevel | Mathematics | |
dc.subject.hlbtoplevel | Science | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/167918/1/zxmars_1.pdf | |
dc.identifier.doi | https://dx.doi.org/10.7302/1345 | |
dc.identifier.orcid | 0000-0002-0036-5996 | |
dc.identifier.name-orcid | Zhang, Xin; 0000-0002-0036-5996 | en_US |
dc.working.doi | 10.7302/1345 | en |
dc.owningcollname | Dissertations and Theses (Ph.D. and Master's) |
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