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From Measures to Itô Integrals / Ekkehard Kopp.

By: Material type: TextTextSeries: AIMS Library of Mathematical Sciences | AIMS Library of Mathematical SciencesPublisher: Cambridge : Cambridge University Press, 2011Description: 1 online resource (128 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511813115 (ebook)
Additional physical formats: Print version: : No titleDDC classification:
  • 515/.42 22
LOC classification:
  • QA312 .K5867 2011
Online resources: Summary: From Measures to Itô Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Itô integrals and a brief look at martingale calculus. Modern probability theory and the applications of stochastic processes rely heavily on an understanding of basic measure theory. This text is ideal preparation for graduate-level courses in mathematical finance and perfect for any reader seeking a basic understanding of the mathematics underpinning the various applications of Itô calculus.
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Title from publisher's bibliographic system (viewed on 04 Apr 2016).

From Measures to Itô Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Itô integrals and a brief look at martingale calculus. Modern probability theory and the applications of stochastic processes rely heavily on an understanding of basic measure theory. This text is ideal preparation for graduate-level courses in mathematical finance and perfect for any reader seeking a basic understanding of the mathematics underpinning the various applications of Itô calculus.

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