DSpace Collection:http://hdl.handle.net/10174/11072019-12-14T03:29:54Z2019-12-14T03:29:54ZOn the Restriction of the Optimal Transportation Problem to the set of Martingale Measures with Uniform MarginalsSaddi, Daryl AllenEscaner, Jose Maria L. IVSalazar, Jorgehttp://hdl.handle.net/10174/260742019-12-02T15:52:04Z2019-01-01T00:00:00ZTitle: On the Restriction of the Optimal Transportation Problem to the set of Martingale Measures with Uniform Marginals
Authors: Saddi, Daryl Allen; Escaner, Jose Maria L. IV; Salazar, Jorge
Abstract: One of the fundamental problems in mathematical finance is the pricing of derivative assets such as op- tions. In practice, pricing an exotic option, whose value depends on the price evolution of an underlying risky asset, requires a model and then numerical simulations. Having no a priori model for the risky asset, but only the knowledge of its distribution at certain times, we instead look for a lower bound for the option price using the Monge-Kantorovich transportation theory. In this paper, we consider the Monge-Kantorovich problem that is restricted over the set of martingale measure. In order to solve such problem, we first look at sufficient conditions for the existence of an optimal martingale measure. Next, we focus our attention on problems with transports which are two-dimensional real martingale measures with uniform marginals. We then come up with some characterization of the optimizer, using measure-quantization approach.2019-01-01T00:00:00ZUma comparação de métodos para análise de registos de marésCarinhas, DoraInfante, Paulohttp://hdl.handle.net/10174/245662019-02-12T12:26:29Z2018-05-31T23:00:00ZTitle: Uma comparação de métodos para análise de registos de marés
Authors: Carinhas, Dora; Infante, Paulo
Abstract: O movimento regular da maré é constantemente influenciado, a um menor ou maior grau, por efeitos meteorológicos. Em certas regiões do globo, inundações costeiras intensas podem ocorrer quando há a coincidência de fenómenos meteorológicos extremos, como tempestades tropicais ou tufões, com alturas de maré astronómica elevada. As condições meteorológicas são a principal causa das diferenças entre alturas de maré previstas e observadas, fazendo-se notar com maior intensidade nos períodos de Inverno. Este trabalho tem por objetivo apresentar uma revisão das principais metodologias de modelação e previsão de marés que provaram ser bem sucedidas numa variedade de circunstâncias.
Esses métodos incluem técnicas padrão de filtragem, como por exemplo filtros de Kalman, redes neuronais artificiais e métodos de análise por wavelets. Os métodos clássicos e os mais recentes foram revistos de forma sistemática e consistente, apresentando vantagens e desvantagens.2018-05-31T23:00:00ZFrailty Models for Survival Data applied to Maintenance ManagementMadeira, SílviaInfante, PauloDidelet, Filipehttp://hdl.handle.net/10174/245612019-02-12T12:22:46Z2018-01-01T00:00:00ZTitle: Frailty Models for Survival Data applied to Maintenance Management
Authors: Madeira, Sílvia; Infante, Paulo; Didelet, Filipe
Editors: Sinha, Jyoti K.; Didelet, Filipe
Abstract: Due to large number of equipment in industrial companies, maintenance management may not always be able to identify and quantify assets heterogeneity concerning failure data. Several statistical and mathematical methods are being developed in the last years looking for an improvement on the system reliability. We’ve been working on survival analysis applied to equipment failure data using Cox proportional hazards, however, we notice that individualization with respect to the risk must be considered. Frailty models allowed us to identify equipment not following patterns of identical distributed times to failure. Although there exist some controversy
around frailty models, claiming its poor contribution to the model, the truth is that when clustering our equipment by its id with a non-observed frailty component, we quickly identify those with higher influence on the hazard. This is particularly useful whether the intention is to find a homogeneous sample or work with all samples considering frailty component, contributing either way, to an enhanced and adaptive maintenance management.2018-01-01T00:00:00ZAsymptotic Behaviour in a Certain Nonlinearly Perturbed Heat Equation: Non Periodic Perturbation CaseRamos, CarlosSantos, Ana IsabelVinagre, Sandrahttp://hdl.handle.net/10174/238862019-01-08T14:45:16Z2018-01-01T00:00:00ZTitle: Asymptotic Behaviour in a Certain Nonlinearly Perturbed Heat Equation: Non Periodic Perturbation Case
Authors: Ramos, Carlos; Santos, Ana Isabel; Vinagre, Sandra
Editors: Pinelas, Sandra; Kloeden, Peter; Caraballo, Tomás; Graef, John R.
Abstract: We consider a system described by the linear heat equation with adiabatic
boundary conditions.We impose a nonlinear perturbation determined by a family of
interval maps characterized by a certain set of parameters. The time instants of the
perturbation are determined by an additional dynamical system, seen here as part of
the external interacting system. We analyse the complex behaviour of the system,
through the scope of symbolic dynamics, and the dependence of the behaviour on the
time pattern of the perturbation, comparing it with previous results in the periodic
case.2018-01-01T00:00:00Z