From Measures to Itô Integrals

by Ekkehard Kopp

Book Overview

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

• Format: Paperback
• Language: English
• ISBN: 1107400864
• ISBN13: 9781107400863
• Release Date: May 2011
• Publisher: Cambridge University Press
• Length: 128 Pages
• Weight: 0.35 lbs.
• Dimensions: 0.3" x 5.4" x 8.3"