| 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 |
|