Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/121869
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorSanz, Marta-
dc.contributor.authorTorre i Estévez, Víctor de la-
dc.date.accessioned2018-04-25T10:25:21Z-
dc.date.available2018-04-25T10:25:21Z-
dc.date.issued2017-06-29-
dc.identifier.urihttp://hdl.handle.net/2445/121869-
dc.descriptionTreballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2017, Director: Marta Sanzca
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.extent58 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isocatca
dc.rightscc-by-nc-nd (c) Vı́ctor de la Torre i Estévez, 2017-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es-
dc.subject.classificationAnàlisi estocàstica-
dc.subject.classificationTreballs de fi de grau-
dc.subject.classificationSemimartingales (Matemàtica)ca
dc.subject.classificationMoviment browniàca
dc.subject.classificationIntegrals estocàstiquesca
dc.subject.classificationProcessos de Lévyca
dc.subject.otherAnalyse stochastique-
dc.subject.otherBachelor's thesis-
dc.subject.otherSemimartingales (Mathematics)en
dc.subject.otherBrownian movementsen
dc.subject.otherStochastic integralsen
dc.subject.otherLévy processesen
dc.titleCàlcul estocàstic per a semimartingales i temps localsca
dc.typeinfo:eu-repo/semantics/bachelorThesisca
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

Files in This Item:
File Description SizeFormat 
memoria.pdfMemòria501.4 kBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons