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From Measures to It´ Integrals : AIMS Library of Mathematical Sciences - Ekkehard Kopp

From Measures to It´ Integrals

By: Ekkehard Kopp

Paperback | 31 March 2011

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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.

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