From Measures to Ito Integrals : Kopp, Ekkehard
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ISBN: 9781107400863
Cambridge University Press | 09 May 2011
Paperback | 128 pages Description
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.