{"id":92549,"date":"2018-03-11T10:11:33","date_gmt":"2018-03-11T10:11:33","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/beyond-brownian-motion-topics-on-stochastic-calculus-for-fractional-brownian-motion-and-levy-markets\/"},"modified":"2018-03-11T10:11:33","modified_gmt":"2018-03-11T10:11:33","slug":"beyond-brownian-motion-topics-on-stochastic-calculus-for-fractional-brownian-motion-and-levy-markets","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/barcelona\/beyond-brownian-motion-topics-on-stochastic-calculus-for-fractional-brownian-motion-and-levy-markets\/","title":{"rendered":"Beyond brownian motion: topics on stochastic calculus for fractional brownian motion and l\u00e9vy markets"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Jo\u00c1\u00a3o Miguel Espinguinha Guerra <\/strong><\/h2>\n<p>La tesis se divide en dos partes. En la primera parte, se estudia el c\u00e1lculo estoc\u00e1stico respecto del movimiento browniano fraccionario y las ecuaciones diferenciales estoc\u00e1sticas respecto del movimiento browniano fraccionario y del movimiento browniano. En la segunda parte, se estudia el problema de optimizaci\u00f3n de carteras en mercados financieros descritos por procesos de l\u00e9vy. El c\u00e1lculo estoc\u00e1stico respecto del movimiento browniano fraccionario es un tema de investigaci\u00f3n de gran actualidad e inter\u00e9s. Los problemas concretos que se estudian en esta tesis son: la variaci\u00f3n de orden p de la integral divergencia (en el contexto del c\u00e1lculo de malliavin) al respecto del movimiento browniano fraccionario; aplicaci\u00f3n del c\u00e1lculo estoc\u00e1stico al respecto del movimiento browniano fraccionario a la representaci\u00f3n de los procesos de bessel fraccionarios; existencia y unicidad de soluciones para ecuaciones diferenciales al respecto del movimiento browniano fraccionario y del movimiento browniano. La optimizaci\u00f3n de carteras en mercados modelados por procesos de l\u00e9vy geom\u00e9tricos es un tema de gran importancia en matem\u00e1ticas financieras. Los problemas concretos que se abordan en la tesis son los siguientes: la completitud de los mercados de l\u00e9vy utilizando activos artificiales relacionados con las potencias de los saltos del proceso de l\u00e9vy; determinaci\u00f3n de las carteras de cobertura en mercados de l\u00e9vy; optimizaci\u00f3n de las carteras por maximizaci\u00f3n de funciones utilidad.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Beyond brownian motion: topics on stochastic calculus for fractional brownian motion and l\u00e9vy markets<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Beyond brownian motion: topics on stochastic calculus for fractional brownian motion and l\u00e9vy markets <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Jo\u00c1\u00a3o Miguel Espinguinha Guerra <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 27\/03\/2009<\/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>Jos\u00e9 Manuel Corcuera<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: frederic Utzet civit <\/li>\n<li>olee Barndorff nielsen (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 Jo\u00c1\u00a3o Miguel Espinguinha Guerra La tesis se divide en dos partes. En la primera parte, se estudia [&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 center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[951,1478],"tags":[49502,191391,191392,191393],"class_list":["post-92549","post","type-post","status-publish","format-standard","hentry","category-barcelona","category-procesos-estocasticos","tag-frederic-utzet-civit","tag-joao-miguel-espinguinha-guerra","tag-jose-manuel-corcuera","tag-olee-barndorff-nielsen"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/92549","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=92549"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/92549\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=92549"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=92549"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=92549"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}