Stochastic integrals and wong-zakai theorems
| dc.contributor.advisor | Rovira Escofet, Carles | |
| dc.contributor.author | Armengol Collado, Josep-Maria | |
| dc.date.accessioned | 2019-05-13T10:41:32Z | |
| dc.date.available | 2019-05-13T10:41:32Z | |
| dc.date.issued | 2019-01-18 | |
| dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Carles Rovira Escofet | ca |
| dc.description.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. | ca |
| dc.format.extent | 64 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | https://hdl.handle.net/2445/133067 | |
| dc.language.iso | eng | ca |
| dc.rights | cc-by-nc-nd (c) Josep-Maria Armengol Collado, 2019 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
| dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | |
| dc.subject.classification | Moviment brownià | ca |
| dc.subject.classification | Treballs de fi de grau | |
| dc.subject.classification | Processos estocàstics | ca |
| dc.subject.classification | Integrals estocàstiques | ca |
| dc.subject.classification | Equacions diferencials estocàstiques | ca |
| dc.subject.classification | Anàlisi estocàstica | ca |
| dc.subject.other | Brownian movements | en |
| dc.subject.other | Bachelor's theses | |
| dc.subject.other | Stochastic processes | en |
| dc.subject.other | Stochastic integrals | en |
| dc.subject.other | Stochastic differential equations | en |
| dc.subject.other | Analyse stochastique | en |
| dc.title | Stochastic integrals and wong-zakai theorems | ca |
| dc.type | info:eu-repo/semantics/bachelorThesis | ca |
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