Zobrazeno 1 - 10
of 56
pro vyhledávání: '"Dorival Leão"'
Autor:
Pinto Júnior, Dorival Leão
Publikováno v:
Biblioteca Digital de Teses e Dissertações da Universidade Estadual de Campinas (UNICAMP)
Universidade Estadual de Campinas (UNICAMP)
instacron:UNICAMP
Universidade Estadual de Campinas (UNICAMP)
instacron:UNICAMP
Orientadores: João Bosco Ribeiro do Val, Marcelo Dutra Fragoso Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Eletrica Resumo: Uma classe de processos dinâmicos sujeitos às falhas é estudada nesta dissertaç
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2bac453de7f35d9392aea12e1b2c3384
https://doi.org/10.47749/t/unicamp.1992.62585
https://doi.org/10.47749/t/unicamp.1992.62585
Publikováno v:
Bulletin des Sciences Mathématiques. 149:23-65
In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process (in partic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::552892f8b3590a097dd04ad7beb6390f
https://doi.org/10.1016/j.bulsci.2018.07.001
https://doi.org/10.1016/j.bulsci.2018.07.001
Publikováno v:
Applied Stochastic Models in Business and Industry. 34:499-512
European options are a significant financial product. Barrier options, in turn, are European options with a barrier constraint. The investor may pay less buying the barrier option obtaining the same result as that of the European option whenever the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b126cfeb81ae4d635ee114cae186e622
https://doi.org/10.1002/asmb.2316
https://doi.org/10.1002/asmb.2316
Publikováno v:
Journal of Applied Probability
Journal of Applied Probability, Cambridge University press, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
Journal of Applied Probability, Cambridge University press, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e1aba651a08a18ad16fdc3ec093aeb3
https://hal.archives-ouvertes.fr/hal-02572450
https://hal.archives-ouvertes.fr/hal-02572450
Publikováno v:
CDC
We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is that we combine ideas of convex analysis with tools of stochastic theory. The com
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89edd27089321a4278f33e5421226e49
https://doi.org/10.1109/cdc.2017.8264106
https://doi.org/10.1109/cdc.2017.8264106
Autor:
Dorival Leão, Alberto Ohashi
Publikováno v:
Ann. Appl. Probab. 27, no. 2 (2017), 1294-1295
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3b82e651ced4494d51d5b471e0d2ee8d
https://doi.org/10.1214/16-aap1224
https://doi.org/10.1214/16-aap1224
Publikováno v:
Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual)
Universidade de São Paulo (USP)
instacron:USP
Statistical Modelling, 17(6), 449-467. SAGE Publications Ltd
Universidade de São Paulo (USP)
instacron:USP
Statistical Modelling, 17(6), 449-467. SAGE Publications Ltd
Modelling the concentration of a drug in the bloodstream over time is usually done using compartment models. In pharmacokinetic data, they turn into highly nonlinear mixed-effects models (NLMEMs) when we take the heterogeneity between subjects into a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::863367299b693b418cecdd3f7f7f5501
Publikováno v:
Communications in Statistics - Simulation and Computation. 38:1447-1469
Considering the Wald, score, and likelihood ratio asymptotic test statistics, we analyze a multivariate null intercept errors-in-variables regression model, where the explanatory and the response variables are subject to measurement errors, and a pos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b40eab0e878258bc4637ebab6e7f0b4
https://doi.org/10.1080/03610910902972310
https://doi.org/10.1080/03610910902972310
Publikováno v:
IRRIGA. 13:63-80
INFLUÊNCIA DA ACURÁCIA DE INSTRUMENTOS DE MEDIDAS NA COMPARAÇÃO DE MÉTODOS DE ESTIMATIVA DA EVAPOTRANSPIRAÇÃO DE REFERÊNCIA José Eduardo Pitelli Turco1; Dilermando Perecin2; Dorival Leão Pinto Jr31Departamento de Engenharia Rural, Faculdade
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a84c53f7d2cf61425e9d0e005d7ddb1
https://doi.org/10.15809/irriga.2008v13n1p63-80
https://doi.org/10.15809/irriga.2008v13n1p63-80
Publikováno v:
Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual)
Universidade de São Paulo (USP)
instacron:USP
International Journal of Stochastic Analysis, Vol 2015 (2015)
Universidade de São Paulo (USP)
instacron:USP
International Journal of Stochastic Analysis, Vol 2015 (2015)
We propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to arbitrary square-integrable claims in incomplete markets. In contrast to previous works based on PDE and BSDE methods, the main meri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::516beb94f82dfc04db3783c52dd4fe5a