Stochastic differential equations

This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In…

This dissertation investigates the approximation of certain problems arising in the mathematical neurosciences where noise is present. In particular, we provide a detailed derivation of recent convergence results of moments of stochastic integrals used in the numerical approxima…