From measures to Ito integrals

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From measures to Ito integrals

From measures to Ito integrals

Name: From measures to Ito integrals
ISBN: 9781107400863

Kopp E.

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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.

Kategorie:

Mathematics

Rok:

2011

Wydawnictwo:

CUP

Język:

english

Strony:

130

ISBN 10:

1107400864