Global ETD Search

1	Robuste Portfolio Optimierung in Lévy Märkten Wittemann, Frank, January 2008 (has links) Ulm, Univ., Diss., 2008. Martingal. Robustheit. Verbrauch.
2	Konditionierungen der Super-Brownschen-Bewegung und verzweigender Diffusionen / Overbeck, Ludger. January 1992 (has links) University, Diss., 1991--Bonn. Brownsche Bewegung. Martingal.
3	Martingalansätze in der Portfolioselektion / Eggers, Rainer. January 2004 (has links) (PDF) Univ., Diss.--St. Gallen, 2004.
4	Optimierung des Kreditgeschäftes mit Martingalen / Bouss, Rainer. January 2004 (has links) Thesis (doctoral)--Universität, Magdeburg, 2003. / Includes bibliographical references (p. [255]-264).
5	Continuous Time Finance - Analytical Methods in Asset-Liability Portfolio Theory Moos, Daniel. January 2005 (has links) (PDF) Master-Arbeit Univ. St. Gallen, 2005.
6	A abordagem de martingais para o estudo de ocorrência de palavras em ensaios independentes / The martingale approach to the study of occurrence of words in independent trials Masitéli, Vanessa 07 April 2017 (has links) Seja {Xn} uma sequência de variáveis aleatórias i.i.d. assumindo valores num alfabeto enumerável. Dada uma coleção de palavras finita, observamos esta sequência até o momento τ em que uma dessas palavras apareça em X1, X2, .....Neste trabalho utilizamos a abordagem de martingais, introduzida por Li (1980) e Gerber e Li (1981), para estudar o tempo de espera até que uma das palavras ocorra pela primeira vez, o tempo médio de τ e a probabilidade de uma palavra ser a primeira a aparecer. / Let {Xn} be a sequence of i.i.d. random variables talking values in an enumerable alphgabet. Given a finite collection of words, we observe this sequence till the moment τ at which one of these words appears as a run. In this work we apply the martingale approach introduced by Li (1980) and Gerber and Li (1981) in order to study the waiting time until one of the words occurs for the first time, the mean of τ and the probability of a word to be first on to appear. Cadeiras de Markov Conditional expectation Conditional probability Esperança condicional Markov chairs Martingal Martingal Probabilidade condicional Tempo de espera Waiting time
7	Náhodné procesy v analýze spolehlivosti / Random Processes in Reliability Analysis Chovanec, Kamil January 2011 (has links) Title: Random Processes in Reliability Analysis Author: Kamil Chovanec Department: Department of Probability and Mathematical Statistics Supervisor: Doc. Petr Volf, CSc. Supervisor's e-mail address: volf@utia.cas.cz Abstract: The thesis is aimed at the reliability analysis with special em- phasis at the Aalen additive model. The result of hypothesis testing in the reliability analysis is often a process that converges to a Gaussian martingale under the null hypothesis. We can estimate the variance of the martingale using a uniformly consistent estimator. The result of this estimation is a new hypothesis about the process resulting from the original hypothesis. There are several ways to test for this hypothesis. The thesis presents some of these tests and compares their power for various models and sample sizes using Monte Carlo simulations. In a special case we derive a point that maximizes the asymptotic power of two of the tests. Keywords: Martingale, Aalen's additive model, hazard function 1
8	Stochastic representation of the gradient and Hessian of diffusion semigroups on Riemannian manifolds Plank, Holger. Unknown Date (has links) (PDF) University, Diss., 2002--Regensburg. / Erscheinungsjahr an der Haupttitelstelle: 2002.
9	Assinaturas dinâmicas de um sistema coerente com aplicações / Dynamic signatures of a coherent system with applications. Flor, José Alberto Ramos 27 February 2012 (has links) O objetivo da dissertação é analisar a assinatura em um contexto geral que considera a dinâmica no tempo e a dependência estocástica, utilizando a teoria de martingais para processos pontuais. / The main goal in this work is to analyse the signature structure in a broader context considering time dynamics and stochastic dependence using the point processes martingale theory. assinatura dinâmica assinautra do sistema coherent systems dynamic signatures extreme values. martingal martingales point process processo pontual signatures of a system sistema coerente valores extremos.
10	Itô’s Lemma Grunert, Sandro 10 June 2009 (has links) (PDF) Itô’s Lemma Ausarbeitung im Rahmen des Seminars "Finanzmathematik", SS 2009 Die Arbeiten des japanischen Mathematikers Kiyosi Itô aus den 1940er Jahren bilden heute die Grundlage der Theorie stochastischer Integration und stochastischer Differentialgleichungen. Die Ausarbeitung beschäftigt sich mit Itô's Kalkül, in dem zunächst das Itô-Integral bezüglich diverser Integratoren bereitgestellt wird, um sich anschließend mit Itô's Lemma bzw. der Itô-Formel als grundlegendes Hilfsmittel stochastischer Integration zu widmen. Am Ende wird ein kurzer Ausblick auf das Black-Scholes-Modell für zeitstetige Finanzmärkte vollzogen. Grundlage für die Ausarbeitung ist das Buch "Risk-Neutral Valuation" von Nicholas H. Bingham und Rüdiger Kiesel. Itô Formel Itô Integral Itô Kalkül Itô Lemma Mathematik Wirtschaftsmathematik zeitstetige Finanzmärkte ddc:500 ddc:510 Brownsche Bewegung Diffusionsprozess Finanzmathematik Ito Kiyoshi Martingal Martingaltheorie Stochastisches Integral

Search results