Browsing by Subject "Equações diferenciais estocásticas"
Now showing items 1-6 of 6
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Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
2011-09-23There is a variety of strong Local Linearization (LL) schemes for the numerical integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is used in the numerical ... -
Dynamic hedging with stocastic differential utility
2003-05-22In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ... -
Dynamic hedging with stochastic differential utility
2006-11-01In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ... -
Essays on decision theory
2020-12-18Ainda que seja um padrão assumir que as preferências de um agente econômico é completa, essa hipótese é considerada forte. De acordo com von Neumann e Morgenstern (1953)(p. 631) “It is very dubious, whether the idealization ... -
Um método de linearização local com passo adaptativo para solução numérica de equações diferenciais estocásticas com ruído aditivo
2015-07-31In this work we present a new numerical method with adaptive stepsize based on the local linearization approach, to integrate stochastic differential equations with additive noise. We also propose a computational scheme ...
