An introduction to stochastic integration and its applications

• Grant number: 20/15870-4
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: February 01, 2021
• End date: February 28, 2022
• Field of knowledge: Physical Sciences and Mathematics - Mathematics - Applied Mathematics
• Principal Investigator: Fabiano Borges da Silva
• Grantee: Elias Oliveira Vieira dos Santos
• Host Institution: Faculdade de Ciências (FC). Universidade Estadual Paulista (UNESP). Campus de Bauru. Bauru , SP, Brazil

Abstract

This scientific initiation project aims to study the stochastic integration of Wiener and Itô, to understand concepts relevant to the development of this theory, such as the Markov property, Brownian movement and martingale, and to apply the Itô Formula to determine possible solutions of equations stochastic differentials. It is also intended to provide the candidatean experience with research in the area of stochastic dynamic systems.