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Record Nr. |
UNINA9910791903003321 |
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Autore |
Kopp P. E. <1944-> |
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Titolo |
From Measures to Itô Integrals / / Ekkehard Kopp [[electronic resource]] |
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Pubbl/distr/stampa |
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Cambridge : , : Cambridge University Press, , 2011 |
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ISBN |
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1-107-22245-1 |
1-139-07659-0 |
9786613111180 |
1-139-07087-8 |
1-139-08114-4 |
1-139-08341-4 |
1-139-07887-9 |
1-283-11118-7 |
0-511-81311-2 |
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Descrizione fisica |
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1 online resource (vii, 120 pages) : digital, PDF file(s) |
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Collana |
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Classificazione |
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Disciplina |
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Soggetti |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Probability and measure -- Measures and distribution functions -- Measurable functions/random variables -- Integration and expectation -- Lp-spaces and conditional expectation -- Discrete-time martingales -- Brownian motion -- Stochastic integrals. |
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Sommario/riassunto |
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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. |
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