dc.contributor | Pinto Júnior, Dorival Leão | |
dc.contributor | http://lattes.cnpq.br/9633241446303620 | |
dc.contributor | http://lattes.cnpq.br/8804513851154838 | |
dc.creator | Almeida, Danila Maria Silva Fernandes de | |
dc.date.accessioned | 2020-08-10T15:44:14Z | |
dc.date.accessioned | 2022-10-10T21:32:25Z | |
dc.date.available | 2020-08-10T15:44:14Z | |
dc.date.available | 2022-10-10T21:32:25Z | |
dc.date.created | 2020-08-10T15:44:14Z | |
dc.date.issued | 2020-06-12 | |
dc.identifier | ALMEIDA, 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.identifier | https://repositorio.ufscar.br/handle/ufscar/13138 | |
dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/4043426 | |
dc.description.abstract | In 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.language | por | |
dc.publisher | Universidade Federal de São Carlos | |
dc.publisher | UFSCar | |
dc.publisher | Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs | |
dc.publisher | Câmpus São Carlos | |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/br/ | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Brazil | |
dc.subject | Processos de Lévy | |
dc.subject | Martingale | |
dc.subject | Fórmula de Itô | |
dc.subject | Equações diferencias estocásticas | |
dc.subject | Parada ótima | |
dc.subject | Lévy processes | |
dc.subject | Martingale | |
dc.subject | Itô formula | |
dc.subject | Stochastic differential equation | |
dc.subject | Optimal stopping | |
dc.title | Modelos de Lévy de atividade infinita | |
dc.type | Tesis | |