From Measures to Itô Integrals (AIMS Library of Mathematical Sciences)
Ekkehard Kopp
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.
年:
2011
出版商:
Cambridge University Press
語言:
english
頁數:
130
ISBN 10:
1107400864
文件:
PDF, 859 KB
IPFS:
,
english, 2011