Mostra el registre parcial de l'element
| dc.contributor | Sanz-Solé, Marta | |
| dc.creator | Torre i Estévez, Víctor de la | |
| dc.date | 2018-04-25T10:25:21Z | |
| dc.date | 2018-04-25T10:25:21Z | |
| dc.date | 2017-06-29 | |
| dc.date.accessioned | 2024-12-16T10:26:22Z | |
| dc.date.available | 2024-12-16T10:26:22Z | |
| dc.identifier | http://hdl.handle.net/2445/121869 | |
| dc.identifier.uri | http://fima-docencia.ub.edu:8080/xmlui/handle/123456789/20970 | |
| dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2017, Director: Marta Sanz | |
| dc.description | [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. | |
| dc.format | 58 p. | |
| dc.format | application/pdf | |
| dc.language | cat | |
| dc.rights | cc-by-nc-nd (c) Vı́ctor de la Torre i Estévez, 2017 | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/es | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | |
| dc.subject | Anàlisi estocàstica | |
| dc.subject | Treballs de fi de grau | |
| dc.subject | Semimartingales (Matemàtica) | |
| dc.subject | Moviment brownià | |
| dc.subject | Integrals estocàstiques | |
| dc.subject | Processos de Lévy | |
| dc.subject | Analyse stochastique | |
| dc.subject | Bachelor's theses | |
| dc.subject | Semimartingales (Mathematics) | |
| dc.subject | Brownian movements | |
| dc.subject | Stochastic integrals | |
| dc.subject | Lévy processes | |
| dc.title | Càlcul estocàstic per a semimartingales i temps locals | |
| dc.type | info:eu-repo/semantics/bachelorThesis |
| Fitxers | Grandària | Format | Visualització |
|---|---|---|---|
|
No hi ha fitxers associats a aquest element. |
|||