From measures to itô integrals
Author(s)
Bibliographic Information
From measures to itô integrals
（AIMS library series）
Cambridge University Press, 2011
- : pbk.
Available at 11 libraries
Note
Includes bibliographical references (p. 118) and index
Description and Table of Contents
Description
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.
Table of Contents
- 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.
by "Nielsen BookData"