From Measures to Itô Integrals
| By: | Ekkehard Kopp |
| Publisher: | Cambridge University Press |
| Print ISBN: | 9781107400863 |
| eText ISBN: | 9781139066280 |
| Edition: | 1 |
| Format: | Page Fidelity |
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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.