From Measures to Itô Integrals / Ekkehard Kopp.
Kopp, P. E., 1944-| Call Number | 515/.42 |
| Author | Kopp, P. E., 1944- author. |
| Title | From Measures to Itô Integrals / Ekkehard Kopp. |
| Physical Description | 1 online resource (vii, 120 pages) : digital, PDF file(s). |
| Series | AIMS library series |
| Notes | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 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. |
| 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. |
| Subject | Measure theory Textbooks. |
| Multimedia |
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$a 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.
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| 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. |
| Notes | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 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. |
| Subject | Measure theory Textbooks. |
| Multimedia |