From Measures to Ito Integrals

English

Series: AIMS Library of Mathematical Sciences Ser.

ISBN: 1139066285

EAN: 9781139066280

Category: Mathematics / Algebra / General

Publisher: Cambridge University Press

Release Date: 03/31/2011

Synopsis: 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 underpinning the various applications of It'' calculus.

Excerpt: Unknown Property Excerpt

From Measures to Ito Integrals

Illustrated: No

Format: eBook - PDF

Pages: 128