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Title: Stochastic integrals and wong-zakai theorems
Author: Armengol Collado, Josep-Maria
Director/Tutor: Rovira Escofet, Carles
Keywords: Moviment brownià
Treballs de fi de grau
Processos estocàstics
Integrals estocàstiques
Equacions diferencials estocàstiques
Anàlisi estocàstica
Brownian movements
Bachelor's thesis
Stochastic processes
Stochastic integrals
Stochastic differential equations
Analyse stochastique
Issue Date: 18-Jan-2019
Abstract: [en] We start by characterizing Brownian motion and giving its main properties, and then we focus on studying Itô’s and Stratonovich’s integral. We take special interest in comparing both perspectives and proving Wong-Zakai theorems, which connect stochastic and deterministic behaviour. Finally, it is also presented a brief introduction to stochastic differential equations, demonstrating a result for the existence and uniqueness of solutions.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Carles Rovira Escofet
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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