Teorema de decomposição de Lévy-Itô
In this work we present an introduction to the study of Levy processes following those presented in the book (TANKOV, 2003). For this we will briefly review some results of the theory of Probability needed to the study. Then we study the Poisson processes, random measures and Poisson random measures...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2014 |
| País: | Brasil |
| Institución: | Universidade Federal do Espírito Santo (UFES) |
| Repositorio: | Repositório Institucional da Universidade Federal do Espírito Santo (riUfes) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.ufes.br:10/7507 |
| Acceso en línea: | http://repositorio.ufes.br/handle/10/7507 |
| Access Level: | acceso abierto |
| Palabra clave: | Stochastic processes Lévy processes Lévy-Itô theorem Poisson processes Processos de Lévy Integral de Itô Teorema de Lévy-Itô Processos de Poisson Processos estocásticos Matemática 51 |
| Sumario: | In this work we present an introduction to the study of Levy processes following those presented in the book (TANKOV, 2003). For this we will briefly review some results of the theory of Probability needed to the study. Then we study the Poisson processes, random measures and Poisson random measures. Next we introduce the Lévy processes and infinitely divisible distributions, we present the measure of Lévy and then the main result of this work, the Decomposition Theorem of Lévy-Itô . |
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