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Title:
MARTINGALI Z DISKRETNIM ČASOM
Authors:
ID
Grantaša, Simona
(
Author
)
ID
Jakovac, Marko
(
Mentor
)
More about this mentor...
Files:
UNI_Grantasa_Simona_2013.pdf
(492,77 KB)
MD5: 514E8BAF7E2B5068ABDCAF67D8EAB997
PID:
20.500.12556/dkum/1a3072ca-7e31-4ddc-b16a-c730d9a2dacb
Language:
Slovenian
Work type:
Undergraduate thesis
Typology:
2.11 - Undergraduate Thesis
Organization:
FNM - Faculty of Natural Sciences and Mathematics
Abstract:
V diplomskem delu so predstavljene najosnovnejše lastnosti martingalov. Predstavljeni so znani primeri stohastičnih procesov ter njihove povezave z martingali. Martingali imajo prav tako velik pomen pri dokazovanju konvergenčnih izrekov. Ta diplomska naloga temelji na martingalih z diskretnim časom. Na koncu bodo predstavljeni še martingali z zveznim časom ter opisan proces Brownovo gibanje.
Keywords:
martingal
,
submartingal
,
supermartingal
,
čas ustavljanja
,
konvergenčni izrek
,
Brownovo gibanje
Place of publishing:
Maribor
Publisher:
[S. Grantaša]
Year of publishing:
2012
PID:
20.500.12556/DKUM-39367
UDC:
51(043.2)
COBISS.SI-ID:
19606792
NUK URN:
URN:SI:UM:DK:1RAVZVCV
Publication date in DKUM:
29.01.2013
Views:
2210
Downloads:
199
Metadata:
Categories:
FNM
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Secondary language
Language:
English
Title:
DISCRETE-TIME MARTINGALES
Abstract:
The graduation thesis presents the most basic properties of martingals. Known examples of stochastic processes and their connection with martingales will be introduced. Martingales also have great importance in proving convergence theorems. This thesis is based on martingales with discrete time. The thesis is concluded with martingales with continuous time and an important process called the Brown's motion is described.
Keywords:
martingales
,
submartingales
,
supermartingales
,
stopping time
,
convergence theorem
,
Brown's motion
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