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http://hdl.handle.net/2445/121869
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DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Sanz-Solé, Marta | - |
dc.contributor.author | Torre i Estévez, Víctor de la | - |
dc.date.accessioned | 2018-04-25T10:25:21Z | - |
dc.date.available | 2018-04-25T10:25:21Z | - |
dc.date.issued | 2017-06-29 | - |
dc.identifier.uri | http://hdl.handle.net/2445/121869 | - |
dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2017, Director: Marta Sanz | ca |
dc.description.abstract | [en] We start by defining the stochastic integral with respect continuous semimartingales. We then derive Itô’s formula and we show two important applications of this formula: Lévy’s characterization of Brownian motion and the Burkholder-Davis-Gundy inequalities. We extend Itô’s formula for convex functions by using local times. Finally, we apply the theory of local times to the case of Brownian motion: we proof the classical Trotter theorem and we identify the law of the Brownian local time at level 0. | ca |
dc.format.extent | 58 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | cat | ca |
dc.rights | cc-by-nc-nd (c) Vı́ctor de la Torre i Estévez, 2017 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | - |
dc.subject.classification | Anàlisi estocàstica | - |
dc.subject.classification | Treballs de fi de grau | - |
dc.subject.classification | Semimartingales (Matemàtica) | ca |
dc.subject.classification | Moviment brownià | ca |
dc.subject.classification | Integrals estocàstiques | ca |
dc.subject.classification | Processos de Lévy | ca |
dc.subject.other | Analyse stochastique | - |
dc.subject.other | Bachelor's theses | - |
dc.subject.other | Semimartingales (Mathematics) | en |
dc.subject.other | Brownian movements | en |
dc.subject.other | Stochastic integrals | en |
dc.subject.other | Lévy processes | en |
dc.title | Càlcul estocàstic per a semimartingales i temps locals | ca |
dc.type | info:eu-repo/semantics/bachelorThesis | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 501.4 kB | Adobe PDF | View/Open |
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