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On equilibrium prices in continuous time
(Escola de Pós-Graduação em Economia da FGV, 2008-02-28)
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Optimal Portfolio and Consumption in a Switching Diffusion MarketOptimal Portfolio and Consumption in a Switching Diffusion Market
(Sociedade Brasileira de Econometria, 2004)
Integrability of stochastic birth-death processes via differential galois theory
(EDP Sciences, 2020)
Stochastic birth-death processes are described as continuous-time Markov processes in
models of population dynamics. A system of in nite, coupled ordinary diferential equations (the so-
called master equation) describes ...
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
(Institute of Mathematical Statidtics, 2016)
The dissipation of general convex entropies for continuous time Markov processes can be
described in terms of backward martingales with respect to the tail filtration. The relative
entropy is the expected value of a ...
A stochastic model for germination
(Centro de Investigaciones en Matemática Pura y Aplicada (CIMPA) y Escuela de Matemática, San José, Costa Rica., 2020)
Fat tails and black swans: Exact results for multiplicative processes with resets
(American Institute of Physics, 2020-03)
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails?ubiquitous in the statistics of social, economic, and ecological ...
The H-2-control for jump linear systems: cluster observations of the Markov state
(Pergamon-elsevier Science LtdOxfordInglaterra, 2002)