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. INDICE: Preface; 1. Probability and measure; 2. Measures and distributionfunctions; 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.
- ISBN: 978-1-107-40086-3
- Editorial: Cambridge University
- Encuadernacion: Rústica
- Páginas: 128
- Fecha Publicación: 01/04/2011
- Nº Volúmenes: 1
- Idioma: Inglés