Brownian motion with drift threshold model

In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.

Comments on ‘‘Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions

Applied Mathematical Modelling, Vol.33

Applications of Fourier methods to the analysis of some stochastic processes

Dissertação de Doutoramento em Matemática: Processos Estocásticos

Extremum estimators and stochastic optimization methods

Submitted in partial fulfillment for the Requirements for the Degree of PhD in Mathematics, in the Speciality of Statistics in the Faculdade de Ciências e Tecnologia

Stochastic model of transcription initiation of closely spaced promoters in escherichia coli

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Stochastic modelling of the reservoir lithological and petrophysical attributes. A case study of the Middle East carbonate reservoir

Dissertação para obtenção do Grau de Mestre em Engenharia Geológica (Georrecursos)

Stochastic simulation of the morphology of fluvial sand channels reservoirs

Dissertação para obtenção do Grau de Mestre em Engenharia Geológica (Georrecursos)

Stochastic modeling of the thermal and catalytic degradation of polyethylene using simultaneous DSC/TG analysis

Dissertação para obtenção do Grau de Mestre em Engenharia Química e Bioquímica

A nanopore-based stochastic detection method: Single molecule characterisation of nanoparticles using ()- hemolysin

Dissertation presented to obtain the Ph.D degree in Chemistry.