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Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA), 2002)
Option pricing from Ornstein Uhlenbeck process : explicit valuation formula and numerical approximation
(Universidad EAFITMaestría en Matemáticas AplicadasEscuela de Ciencias. Departamento de Ciencias BásicasMedellín, 2021)
Valorización de opciones reales: modelo Ornstein-Uhlenbeck
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the ...
Valorización de opciones reales: modelo Ornstein-Uhlenbeck
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the ...
Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
(2014-02-17)
Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We ...
On the Search for weighted inequalities for Operators related to the Ornstein-Uhlenbeck Semigroup
(Springer, 2000-12)
In this paper,for each given p, 1 < p < ∞, we characterize the weights v for which the centered maximal function with respect to the gaussian measure and the Ornstein-Uhlenbeck maximal operator are well defined for every ...
Fractional iterated Ornstein-Uhlenbeck Processes
(Institute of Mathematical Statistics, 2019)
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck processes generated by the same fractional Brownian motion. When the values of the parameters defining the iteration are ...
Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(2009-02-20)
Se considera el operador de Schr¨odinger en el c´?rculo unitario, con un potencial detipo Ornstein – Uhlenbeck, cuyo factor tendencial depende de la posici´on. Se describela distribuci´on del primer valor propio peri´odico, ...
Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(2009-02-20)
Se considera el operador de Schr¨odinger en el c´?rculo unitario, con un potencial detipo Ornstein – Uhlenbeck, cuyo factor tendencial depende de la posici´on. Se describela distribuci´on del primer valor propio peri´odico, ...