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dc.contributorSerra Albó, Oriol
dc.contributor.authorGutiérrez Moya, Sergio
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Matemàtiques
dc.description.abstractBrownian motion is one of the most used stochastic models in applications to financial mathematics, communications, engineeering, physics and other areas. Many of the central results in the theory are obtained directly from its definition as a continuous process. As a mathematical object, Brownian motion also have some special and important properties that make it fundamental to understand related mathematical fields and state-of-the-art concepts. The purpose of this work is to review a relatively recent approach which allows to reobtain these results via a random walks approximation. The applications of this particular approach include the local time of Brownian motion and the Black-Scholes model in financial mathematics.
dc.publisherUniversitat Politècnica de Catalunya
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.otherBrownian motion
dc.subject.otherWiener process
dc.subject.otherRandom Walk
dc.subject.otherLocal time
dc.subject.otherBlack-Scholes model
dc.subject.otherStochastic process
dc.subject.otherMarkov chain
dc.subject.otherProbability theory
dc.titleBrownian motion: a random walk approximation
dc.typeBachelor thesis
dc.subject.amsClassificació AMS::60 Probability theory and stochastic processes::60K Special processes
dc.rights.accessOpen Access
dc.audience.mediatorUniversitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística
dc.audience.degreeGRAU EN MATEMÀTIQUES (Pla 2009)

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