From Measures to Itô Integrals / Ekkehard Kopp.
Material type: TextSeries: 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
- computer
- online resource
- 9780511813115 (ebook)
- 515/.42 22
- QA312 .K5867 2011
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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