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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.2010.tde-20220712-124548
Document
Author
Full name
Jorge Luis Torrejón Matos
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2010
Supervisor
Title in Portuguese
A lei do arco seno de Lévy
Keywords in Portuguese
Processos Estocásticos
Abstract in Portuguese
O Teorema da Representação de Feyman-Kac fornece uma solução a partir de um problema de valor-inicial. Ele permite encontrar informações do comportamento global do caminho do Movimento Browniano. Consideramos a quantidade de tempo Tt, em que o Movimento Browniano passa pelo conjunto [0, 221E], durante o período do tempo [0,t]. Usando a fórmula de Feynman-Kac, encontramos uma solução que representa a transformada de Laplace de Tt. Resolvendo o problema de valor-inicial, podemos calcular aquela transformada e subseqüentemente deduzir que Tt tem uma distribuição arco seno, um resultado valioso feito por P. Lévy.
Title in English
not available
Abstract in English
not available
 
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Publishing Date
2022-07-13
 
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