Original title: Itoova formule a její aplikace
Translated title: Ito formula and its applications
Authors: Till, Alexander ; Haman, Jiří (advisor) ; Maslowski, Bohdan (referee)
Document type: Bachelor's theses
Year: 2011
Language: slo
Abstract: [eng] [cze]
Title: Itô formula and its applications Author: Alexander Till Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Jiří Haman Supervisor's e-mail address: j.haman@seznam.cz Abstract: The bachelor thesis contains basis and elementary findings of stochastic analysis. It includes definition and properties of stochastic integral with Wiener process as an integrator, definition of stochastic integral with Itô process as an integrator, Itô formula for functions of time and Wiener process, Itô formula for functions of time and Itô process. These conclusions are used to solve certain examples. Keywords: Wiener process, Stochastic integral, Itô formula 1 Názov práce: Itôova formule a její aplikace Autor: Alexander Till Katedra (ústav): Katedra pravděpodobnosti a matematické statistiky Vedúci bakalárskej práce: Mgr. Jiří Haman e-mail vedúceho: j.haman@seznam.cz Abstrakt: Bakalárská práca obsahuje základné poznatky stochastickej analýzy, a to definíciu a vlastnosti stochastického integrálu s integrátorom Wienerovým procesom, definíciu stochastického integrálu s integrátorom Itôovým procesom, Itôovu formulou pre funkciu času a Wienerovho procesu, Itôovu formulou pre funkciu času a Itôovho procesu. V závere práce sú tieto znalosti využité pri riešení niektorých úloh. Klíčová slova: Wienerov proces, Stochastický integrál, Itôova formula 1
Keywords: Itô formula; Stochastic integral; Wiener process; Itôova formula; Stochastický integrál; Wienerov proces

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/50603

Permalink: http://www.nusl.cz/ntk/nusl-491062


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses