dc.contributorPinto Júnior, Dorival Leão
dc.contributorhttp://lattes.cnpq.br/9633241446303620
dc.contributorhttp://lattes.cnpq.br/8804513851154838
dc.creatorAlmeida, Danila Maria Silva Fernandes de
dc.date.accessioned2020-08-10T15:44:14Z
dc.date.accessioned2022-10-10T21:32:25Z
dc.date.available2020-08-10T15:44:14Z
dc.date.available2022-10-10T21:32:25Z
dc.date.created2020-08-10T15:44:14Z
dc.date.issued2020-06-12
dc.identifierALMEIDA, Danila Maria Silva Fernandes de. Modelos de Lévy de atividade infinita. 2020. Tese (Doutorado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2020. Disponível em: https://repositorio.ufscar.br/handle/ufscar/13138.
dc.identifierhttps://repositorio.ufscar.br/handle/ufscar/13138
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/4043426
dc.description.abstractIn this work, we present a class of pure jump Lévy processes A, with internal filtration and Itô-Lévy decomposition and we established an explicit forms for martingale representation, main component of our process. Furthermore, we propose an optimal Itô-Meyer formula for a Lévy functional and Euler-Maruyama approach scheme for a path-dependent SDE driven by A Lévy process. For that, first, we close A by a Poisson process composed of Ae , that we proved to converge strongly in B2 to A, when e ↓ 0. This result is fundamental to show that, given a supermartingale Snell envelope S, we can approach it through an imbedded discrete structure , which is the sequence of value processes, associated with S.
dc.languagepor
dc.publisherUniversidade Federal de São Carlos
dc.publisherUFSCar
dc.publisherPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEs
dc.publisherCâmpus São Carlos
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/3.0/br/
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Brazil
dc.subjectProcessos de Lévy
dc.subjectMartingale
dc.subjectFórmula de Itô
dc.subjectEquações diferencias estocásticas
dc.subjectParada ótima
dc.subjectLévy processes
dc.subjectMartingale
dc.subjectItô formula
dc.subjectStochastic differential equation
dc.subjectOptimal stopping
dc.titleModelos de Lévy de atividade infinita
dc.typeTesis


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