Lévy area for Gaussian processes: A double Wiener--Itô integral approach

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The β-Meixner model

We propose to approximate the Meixner model by a member of the B–family introduced in [Kuz10a]. The advantage of such approximations are the semi–explicit formulas for the running extrema under the B–family processes which enables us to produce more efficient algorithms for certain path dependent options.

The β-Meixner model

We propose to approximate the Meixner model by a member of the B-family introduced in [Kuz10a]. The advantage of such approximations are the semi-explicit formulas for the running extrema under the B-family processes which enables us to produce more efficient algorithms for certain path dependent options.

Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Lévy processes and the Brazilian market

No presente artigo apresentamos processos de Levy usados na literatura para modelar os retornos dos ativos financeiros, estes processos sao gerados pelas distribuições Pareto-Estaveis e Hiperbolicas. Estudamos algumas propriedades destas distribui<;oes, em particular a propriedade da invariancia da escala temporal. Por ultimo apresentamos evidencias empiricas da aplicabilidade destes processos para modelar retornos de ativos Brasileiros, para isto usamos 0 Ibovespa, o recibo da Telebras e Petrobras, na amostra usamos dados dos periodos de 1 de janeiro de 1995 a 31 de dezembro de 1998 (Gl) e de 12 de janeiro de 1996 a 31 de dezembro de 1997(G2).

Anticipating linear stochastic differential equations driven by a Lévy process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

Química Analítica de Processos

Process Analytical Chemistry (PAC) is an important and growing area in analytical chemistry, that has received little attention in academic centers devoted to the gathering of knowledge and to optimization of chemical processes. PAC is an area devoted to optimization and knowledge acquisition of chemical processes, to reducing costs and wastes and to making an important contribution to sustainable development. The main aim of this review is to present to the Brazilian community the development and state of the art of PAC, discussing concepts, analytical techniques currently employed in the industry and some applications.

Glutationa e enzimas relacionadas: papel biológico e importância em processos patológicos

Glutathione (GSH) and related enzymes are pivotal for the normal functioning of several important biological processes. In this review we discuss the biosynthesis and the catalytic cycles of glutathione as well as the major GSH-related enzymes. We also present how glutathione and enzymes are involved in cancer and the chromatographic and non-chromatographic methods used to analyze glutathione and/or its derivatives.

Processos naturais de biodegradação do petróleo em reservatórios

Petroleum biodegradation in reservoirs is a process caused by different microorganisms affecting many oil deposits which modifies the oil composition in a quasi-stepwise process starting from n-alkanes and isoprenoids through to diasteranes. This causes oil souring and increased viscosity, sulfur and metal content, having a direct impact on oil production and refining costs.

Atividade de extratos de Arrabidaea chica (Humb. & Bonpl.) Verlot obtidos por processos biotecnológicos sobre a proliferação de fibroblastos e células tumorais humanas

Arrabidaea chica (H&B) Verlot is a plant popularly known as Pariri and this species is a known source of anthocyanins, flavonoids and tannins. This report describes an approach involving enzymatic treatment prior to extraction procedures to enhance A chica crude extract anticancer activity. Anticancer activity in human cancer cell lines in vitro using a 48 h SRB cell viability assay was performed to determine growth inhibition and cytotoxic properties. The final extraction yield without enzyme treatment was higher (24.28%) compared to the enzyme-treated material (19.03%), with an enhanced aglycones anthocyanin ratio as determined by HPLC- DAD and LC-MS with direct infusion.

FORMAÇÕES DISCURSIVAS E PROCESSOS IDENTIFICATÓRIOS NA AQUISIÇÃO DE LÍNGUAS

This paper discusses theoretical results of the research project Linguistic Identity and Identification: A Study of Functions of Second Language in Enunciating Subject Constitution. Non-cognitive factors that have a crucial incidence in the degree of success and ways of accomplishment of second language acquisition process are focused. A transdisciplinary perspective is adopted, mobilising categories from Discourse Analysis and Psychoanalysis. The most relevant ones are: discursive formation, intradiscourse, interdiscourse, forgetting n° 1, forgetting n° 2 (Pêcheux, 1982), identity, identification (Freud, 1966; Lacan, 1977; Nasio, 1995). Revuz s views (1991) are discussed. Her main claim is that during the process of learning a foreign language, the foundations of psychical structure, and consequently first language, are required. After examining how nomination and predication processes work in first and second languages, components of identity and identification processes are focused on, in an attempt to show how second language acquisition strategies depend on them. It is stated that methodological affairs of language teaching, learner s explicit motivation and the like are subordinated to the comprehension of deeper non-cognitive factors that determine the accomplishment of the second language acquisition process. It is also pointed out that those factors are to be approached, questioning the bipolar biological-social conception of subjectivity in the study of language acquisition and use and including in the analysis symbolic and significant dimensions of the discourse constitution process.

Em jogo a relação entre pesquisador e clube : futebol e processos grupais

Universidade Estadual de Campinas . Faculdade de Educação Física

Paralisia cerebral : atividades ludicas e processos desenvolvimentais em ambiente hospitalar

Universidade Estadual de Campinas . Faculdade de Educação Física

Modificações morfo-funcionais do tecido muscular induzidas pela atividade excentrica : um estudo global dos processos adaptativos

Universidade Estadual de Campinas . Faculdade de Educação Física

Processos adaptativos do tecido muscular esqueletico e tecido conjuntivo : repercussões sobre a flexibilidade

Universidade Estadual de Campinas. Faculdade de Educação Física