{"id":90958,"date":"2018-03-11T10:09:36","date_gmt":"2018-03-11T10:09:36","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/contributions-to-the-study-of-gaussian-processes-and-to-the-modelling-of-financial-markets-with-insider-information\/"},"modified":"2018-03-11T10:09:36","modified_gmt":"2018-03-11T10:09:36","slug":"contributions-to-the-study-of-gaussian-processes-and-to-the-modelling-of-financial-markets-with-insider-information","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/barcelona\/contributions-to-the-study-of-gaussian-processes-and-to-the-modelling-of-financial-markets-with-insider-information\/","title":{"rendered":"Contributions to the study of gaussian processes and to the modelling of financial markets with insider information"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Salvador Ortiz Latorre <\/strong><\/h2>\n<p>Contributions to the study of gaussian processes and to the modelling of financlal markets wlth insider information   ei objetivo de esta tesis es el de presentar algunas contribuciones recientes a dos ramas de la teor\u00eda de processos estoc\u00e1sticos: el estudia de los processos gausianos y la modelizad\u00f3n estoc\u00e1stica de mercados financieros. Respecto a los processos gauslanos, demostramos la existencia del tiempo local de intersecci\u00f3n para dos movimientos brownianos fraccionarios independientes. Despu\u00e9s damos un nuevo criterio de convergencia d\u00e9bil para integrales estoc\u00e1sticas m\u00faltiples en t\u00e9rminos de la derivada de malliavin de estas. La prueba de este resultado est\u00e1 basado exclusivamente en el c\u00e1lculo de malliavin, empezando as\u00ed un nuevo campo de aplicaci\u00f3n de esta teor\u00eda. Esta se puede considerar la principal aportaci\u00f3n de la tesi ya que ha atra\u00eddo la atenci\u00f3n de muchos investigadores en esta \u00e1rea i recientmente se han demostrado un buen n\u00famero de resultados nuevos utilitzando esta t\u00e9cnica finalmente, demostramos una f\u00f3rmula de it\u00f3 para la integral de stratonovich respecto a una clase general de processos gausianos. Respecto a la modelizacion estoc\u00e1stica de mercados financieros, introducimos un nuevo modelo de equilibrio de mercado con informaci\u00f3n privilegiada. Combinamos los modelos de kyle-back i karatzas-pikovsky para obtener un modelo con las siguientes caracter\u00edsticas. Por un lado es suficientemente flexible para incorporar diferentes tipos de informaci\u00f3n privilegiada, en particular esta puede ser diferente del valor final del activo. Por otro lado, el problema de optimizaci\u00f3n subyacente siempre da valores finitos. Las herramientas matem\u00e1ticas utilizadas van desde la expansi\u00f3n inicial de filtraciones a la existencia y unicidad de soluciones fuertes para equaciones diferenciales estoc\u00e1sticas con drrft degenerado.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Contributions to the study of gaussian processes and to the modelling of financial markets with insider information<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Contributions to the study of gaussian processes and to the modelling of financial markets with insider information <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Salvador Ortiz Latorre <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 19\/12\/2008<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>David Nualart Rodon<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: frederic Utzet civit <\/li>\n<li>giovanni Peccati (vocal)<\/li>\n<li>  (vocal)<\/li>\n<li>  (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Salvador Ortiz Latorre Contributions to the study of gaussian processes and to the modelling of financlal markets [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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