Ekkehard Kopp,
Ekkehard (University of Hull) Kopp
From Measures to Itô Integrals
Paperback Engels 2011 9781107400863
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781107400863
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:128
Uitgever:Cambridge University Press
Serie:AIMS Library of Math
Lezersrecensies
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Inhoudsopgave
Preface; 1. Probability and measure; 2. Measures and distribution functions; 3. Measurable functions/random variables; 4. Integration and expectation; 5. Lp-spaces and conditional expectation; 6. Discrete-time martingales; 7. Brownian motion; 8. Stochastic integrals; Bibliography; Index.
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