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.
By:
Ekkehard Kopp (University of Hull) Country of Publication: United Kingdom Dimensions:
Height: 216mm,
Width: 138mm,
Spine: 7mm
Weight: 170g ISBN:9781107400863 ISBN 10: 1107400864 Series:AIMS Library of Mathematical Sciences Publication Date:31 March 2011 Audience:
College/higher education
,
Professional and scholarly
,
Further / Higher Education
,
Undergraduate
Format:Paperback Publisher's Status: Active
Preface; 1. Probability and measure; 2. Measures and distribution functions; 3. Measurable functions/random variables; 4. Integration and expectation; 5. Lp-spaces and conditional expectation; 6. Discrete-time martingales; 7. Brownian motion; 8. Stochastic integrals; Bibliography; Index.
