Càlcul estocàstic per a semimartingales i temps locals

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.