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On the LP formulation in measure spaces of optimal control problems for jump-diffusions
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems ...
Option pricing in market models driven by telegraph processes with jumps
(Universidad del RosarioDoctorado en EconomíaFacultad de Economía, 2014)
This thesis is divided into two parts: the first part is devoted to present the telegraph processes, the Poisson processes with telegraph compensator and the jump-telegraph processes. The study presented in this first part ...
Otimização estocástica de portfólio
(2016-08-05)
In Øksendal (1998), we can see the derivation of a classical stochastic optimization between an asset, or a class of assets, risky and other risk-free. But, after the decision of which portion of the resources to allocate ...
Bifurcation And Multiplicity Results For Critical Nonlocal Fractional Laplacian Problems
(Elsevier Masson SAS, 2016)
Stochastic properties of cooperative and non-cooperative enzymatic reactions at nanoescale
(CASTELLANOS JARAMILLO, JUAN MIGUEL, 2021)
Valoración de opciones americanas por el método de malla estocástica bajo movimiento Browniano fraccional del activo subyacente
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2018-11-07)
Se presentan las principales definiciones y resultados del movimiento Browniano fraccional (mbf) y la manera como su incorporación en el método de malla estocástica permite la valoración de opciones call y put americanas. ...
Soluciones numéricas de un modelo sobre la dinámica del VIH con delay usando un esquema de diferencias finitas no estándar
(Facultad de Ciencias BásicasEstadística, 2019)
Distributionally robust optimization: a novel approach with decision-dependent ambiguity sets and an application to mode estimation
(Universidad de los AndesDoctorado en MatemáticasFacultad de CienciasDepartamento de Matemáticas, 2023-04-14)
This Ph.D. thesis explores stochastic optimization from a Distributionally Robust perspective, focusing on two significant themes: the innovative use of decision variable-dependent ambiguity sets in Distributionally Robust ...