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Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
(Springer-Verlag Italia s.r.l., 2014)
We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
Prediction using ARFIMA and FOU models of affluent energyPredicción mediante modelos AFIRMA y FOU de energía afluente
(Universidad de Montevideo, 2017)
D-Optimal Designs For Complex Ornstein-Uhlenbeck Processes
(2018)
Complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of ...
Predicción mediante modelos ARFIMA y FOU de energía afluente
(Universidad de Montevideo, 2017)
En este trabajo se estudian predicciones a partir de modelos ARFIMA y FOU para la serie de datos semanales de energía afluente generada por las represas hidroeléctricas de Uruguay entre 1909 y 2012. Se describe la serie ...
Riesz transforms on variable Lebesgue spaces with Gaussian measure
(Taylor & Francis Ltd, 2017-03)
We give sufficient conditions on variable exponent functions p : Rn → [1,∞) for which the higher-order Riesz transforms, associated with the Ornstein–Uhlenbeck semigroup, are bounded on Lp(·) (Rn, dγ ), where γ denotes the ...
Fluxo de curvatura média e self-shrinkers
(Universidade Federal de São CarlosUFSCarPrograma de Pós-Graduação em Matemática - PPGMCâmpus São Carlos, 2020-06-12)
Mean curvature flow is a geometric flow that rises when evolving a hipersurface in the direction of its normal vector field with velocity at each point equal to the mean curvature at the very same point. As it is an evolution ...
Soluções radiais para algumas equações elíticas envolvendo o operador Ornstein-Uhlenbeck em domínios exteriores
(Universidade Federal de Juiz de Fora (UFJF)BrasilICE – Instituto de Ciências ExatasMestrado Acadêmico em MatemáticaUFJF, 2023)
Comparative estimation for discrete fractional ornstein-uhlenbeck process
(TAYLOR & FRANCIS INC, 2013)
Algunos potenciales aleatorios del tipo Ornstein-Uhlenbeck para el operador de Schrödinger
(Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA), 1997)