El Món de les variables sense moments finits de tots els ordres: de la paradoxa de Sant Petersburg als processos de Lévy

Authors

  • Josep Lluís Solé

Abstract

Random variables without finite moments of all orders are not at present a pathology, but a central subject in probability theory. From the Saint Petersburg paradox, dated at the beginning of the eighteenth century, until the non-Gaussian stable distributions and Lévy flights, a very beautiful theory has been developed, at which, in this paper, we will take a quick glance. We will finish with some applications to different situations as a taste of the importance of this theory in mathematical modelling. Specifically, we will consider asset prices modelling, the study of earthquakes, a new view to the classical Saint Petersburg paradox, and finally the evolution of the mean temperature in the North Atlantic sea over the last 250,000 years.

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Published

2012-07-12

How to Cite

Solé, J. L. (2012). El Món de les variables sense moments finits de tots els ordres: de la paradoxa de Sant Petersburg als processos de Lévy. Butlletí De La Societat Catalana De Matemàtiques, 27(1), 63–113. Retrieved from https://revistes.iec.cat/index.php/BSCM/article/view/75931.001

Issue

Vol. 27 No. 1 (2012)

Section

Articles

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