Stochastic Integral
Mostrando 1-12 de 16 artigos, teses e dissertações.
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1. Aplicações do cálculo estocástico à análise complexa / Applications of Stochastic Calculus to Complex Analysis
Nesta dissertação desenvolvemos o Cálculo Estocástico para provar teoremas clássicos de Análise Complexa, em particular, o pequeno teorema de Picard.
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 05/03/2012
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2. Movimento browniano, integral de Itô e introdução às equações diferenciais estocásticas
Este texto apresenta alguns dos elementos básicos envolvidos em um estudo introdutório das equações diferencias estocásticas. Tais equações modelam problemas a tempo contínuo em que as grandezas de interesse estão sujeitas a certos tipos de perturbações aleatórias. Em nosso estudo, a aleatoriedade nessas equações será representada por um termo
Publicado em: 2010
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3. Integral estocástica e aplicações / Stochastic Integral and Applications
O aumento pelo interesse na teoria de integração estocástica é, basicamente, consequência da acirrada competição para entender, desenvolver e aplicar a matemática subjacente ao mercado mobiliário. Neste trabalho desenvolvemos, de maneira didática e visando aplicações, tal teoria. Para tanto, começamos apresentando um desenvolvimento cuidadoso da
Publicado em: 2009
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4. Teoria de rough paths via integração algebrica / Rough paths theory via algebraic integration
Introduzimos a teoria dos p-rough paths seguindo a abordagem de M. Gubinelli, conhecida por integração algébrica. Durante toda a dissertação nos restringimos ao caso 1
Publicado em: 2009
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5. Novel and faster ways for solving semi-markov processes: mathematical and numerical issues
Continuous-time semi-Markov processes (SMP) are important stochastic tools for modeling reliability metrics over time for systems where the future behavior depends on the current and next states as well as on sojourn times. The classical approach for solving the interval transition probabilities of SMP consists of directly applying any general quadrature met
Publicado em: 2009
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6. Transporte em nanoestruturas: mÃtodos de movimento Browniano e teoria de circuitos
The results presented in this thesis can be divided into two parts. In the first one we study a class of Brownian motion ensembles (BME) obtained from the general theory of matricial Markovian stochastic processes of random matrix theory. The ensembles are characterized by a Fokker-Planck equation and are closely related to Hamiltonians of Calogero-Sutherlan
Publicado em: 2006
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7. Path integrals and perturbation theory for stochastic processes
We review and extend the formalism introduced by Peliti, that maps a Markov process to a path-integral representation. After developing the mapping, we apply it to some illustrative examples: the simple decay process, the birth-and-death process, and the Malthus-Verhulst process. In the first two cases we show how to obtain the exact probability generating f
Brazilian Journal of Physics. Publicado em: 2003-03
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8. Protein–DNA computation by stochastic assembly cascade
The assembly of RecA on single-stranded DNA is measured and interpreted as a stochastic finite-state machine that is able to discriminate fine differences between sequences, a basic computational operation. RecA filaments efficiently scan DNA sequence through a cascade of random nucleation and disassembly events that is mechanistically similar to the dynamic
The National Academy of Sciences.
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9. Stochastic flows in integral and fractal dimensions and morphogenesis
The effect of dimensionality and spatial extent on the dynamics of an irreversible reaction confined to a finite system was studied by a Monte Carlo simulation. Stochastic flows on surfaces of integral and fractal dimensions and the consequences of reducing the dimensionality of the reaction space are described. As regards the timing and efficiency of chemic
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10. TOWARD A STOCHASTIC CALCULUS, I*
Differential equations, deduced by physical theory for systems subjected to practically possible (Lipschitzian) random disturbances, can also be solved for martingale (e.g., Brownian-motion) disturbances by interpreting integrals as Itô integrals. But the two theories are not unified, and disconcerting differences appear. In this note and the next, we prese
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11. The Moments of Stochastic Integrals and the Distribution of Sojourn Times*
For a single diallelic locus in a finite population with any time-independent selection scheme, using the diffusion approximation, a formula is derived in terms of sojourn times for the moments of the integral of an arbitrary function of gene frequency along sample paths. Irreversible mutation and conditioned and unconditioned processes without mutation are
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12. Proportion of Genes Survived in Offspring Conditional on Inheritance of Flanking Markers
In mammalian genetics and perhaps in human genetics as well, it is an interesting question as to how many offspring are needed in order to have a desired chance of preserving part or the entire genome of an individual. A more practical and perhaps more important question is: given k children and DNA marker data on a particular region of interest, what propor