From Measures to Itô Integrals / Ekkehard Kopp.

Format:

Book

Author/Creator:

Kopp, P. E., 1944- author.

Series:

AIMS library series.

AIMS library series

Language:

English

Subjects (All):

Measure theory--Textbooks.

Measure theory.

Physical Description:

1 online resource (vii, 120 pages) : digital, PDF file(s).

Edition:

1st ed.

Place of Publication:

Cambridge : Cambridge University Press, 2011.

Language Note:

English

Summary:

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.

Contents:

Probability and measure

Measures and distribution functions

Measurable functions/random variables

Integration and expectation

Lp-spaces and conditional expectation

Discrete-time martingales

Brownian motion

Stochastic integrals.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references and index.

ISBN:

1-107-22245-1

1-139-07659-0

9786613111180

1-139-07087-8

1-139-08114-4

1-139-08341-4

1-139-07887-9

1-283-11118-7

0-511-81311-2

OCLC:

781338540