From Measures to Itô Integrals

ISBN-13: 9781107400863 / Angielski / Miękka / 2011 / 128 str.

Ekkehard Kopp (University of Hull)

Opis

From Measures to Ito Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Ito 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 Ito calculus."