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Uma aproximação do tipo Euler-Maruyama para o processo de Cox-Ingersoll-Ross
(Universidade Federal de São Carlos, 2015-02-26)
In this master's thesis we work with Cox-Ingersoll-Ross (CIR) process. This process was originally proposed by John C. Cox, Jonathan E. Ingersoll Jr. and Stephen A. Ross in 1985. Nowadays, this process is widely used in ...
Cadeias estocásticas de memória ilimitada com aplicação na neurociência
(Universidade Federal de São Carlos, 2019-03-21)
Stochastic chains with unbounded memory are a natural generalization of Markov chains, in the sense that the transition probabilities may depend on the whole past. These process, introduced independently by Onicescu and ...