An introduction to stochastic integration

Autors/ores

  • Salim Boukfal Lazaar

Paraules clau:

Brownian motion, Gaussian process, white noise, martingale, stochastic integral, convergence in law.

Resum

L’objectiu d’aquest treball és el d’estudiar integrals estocàstiques que no són necessàriament respecte del moviment brownià. Primer de tot es revisa la construcció d’aquesta darrera integral per motivar les possibles extensions a altres integradors com són les martingales. A continuació, estudiem les integrals respecte de camps aleatoris, on comencem per estudiar aquestes integrals respecte del soroll blanc gaussià per, un cop més, estendre la classe d’integradors. Alhora que es van estudiant aquests objectes, també presentem alguns resultats referents a l’aproximació en llei d’aquests.

Descàrregues

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Descàrregues

Com citar

Boukfal Lazaar, S. (2024). An introduction to stochastic integration. Reports@SCM, 9(1), 89–90. Retrieved from https://revistes.iec.cat/index.php/reports/article/view/154344

Número

Vol. 9 Núm. 1 (2024)

Secció

Extended abstracts

Llicència

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