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memoria.pdf (2.01 MB)

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Bachelor thesis

Publication date

2019-01-18

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cc-by-nc-nd (c) Josep-Maria Armengol Collado, 2019
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/133067

Stochastic integrals and wong-zakai theorems

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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.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Carles Rovira Escofet

Subject

Moviment brownià, Treballs de fi de grau, Processos estocàstics, Integrals estocàstiques, Equacions diferencials estocàstiques, Anàlisi estocàstica

Subject (English)

Brownian movements, Bachelor's theses, Stochastic processes, Stochastic integrals, Stochastic differential equations, Analyse stochastique

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

ARMENGOL COLLADO, Josep-Maria. Stochastic integrals and wong-zakai theorems. [consulted: 12 of June of 2026]. Available at: https://hdl.handle.net/2445/133067

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