From Measures to Itô Integrals
Ekkehard Kopp
内容简介 · · · · · ·
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.
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.
Категорії:
Рік:
2011
Видавництво:
Cambridge University Press
Мова:
english
Сторінки:
128
ISBN 10:
1107400864
ISBN 13:
9781107400863
ISBN:
2010050362
Файл:
PDF, 766 KB
IPFS:
,
english, 2011
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