From Measures to Itô Integrals

Ekkehard Kopp (University of Hull)

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English

31 March 2011

Finance; Mathematics & Sciences; Integral calculus & equations; Probability & statistics

Series: AIMS Library of Mathematical Sciences

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.

By: Ekkehard Kopp (University of Hull)
Country of Publication: United Kingdom
Dimensions: Height: 216mm, Width: 138mm, Spine: 1mm
Weight: 170g
ISBN: 9781107400863
ISBN 10: 1107400864
Series: AIMS Library of Mathematical Sciences
Publication Date: 31 March 2011
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Paperback
Publisher's Status: Active

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.