Teoremi reprezentacije martingala s diskretnim vremenom

Vukić, Marija (2014) Teoremi reprezentacije martingala s diskretnim vremenom. Diploma thesis, Faculty of Science > Department of Mathematics.

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Abstract

This thesis states and proves the discrete time martingale representation theorems. The main results are one-dimensional and multidimensional representation theorems and an abstract representation theorem. We also demonstrated some of the consequences of these theorems such as: discrete Itō’s formula, representation of variables using martingale transforms of random walks, Hinčin’s inequality and the convergence of the martingale transform.

Item Type: Thesis (Diploma thesis)
Supervisor: Kovač, Vjekoslav
Date: 2014
Number of Pages: 43
Subjects: NATURAL SCIENCES > Mathematics
Divisions: Faculty of Science > Department of Mathematics
Depositing User: Iva Prah
Date Deposited: 01 Sep 2015 12:28
Last Modified: 01 Sep 2015 12:28
URI: http://digre.pmf.unizg.hr/id/eprint/4207

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