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http://hdl.handle.net/2445/133067
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 theses 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 |
URI: | http://hdl.handle.net/2445/133067 |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 2.06 MB | Adobe PDF | View/Open |
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