From Measures to Itô Integrals / / Ekkehard Kopp [[electronic resource]]

• Autore: Kopp P. E. <1944->
• Pubblicazione: Cambridge : , : Cambridge University Press, , 2011
• Descrizione fisica: 1 online resource (vii, 120 pages) : digital, PDF file(s)
• Disciplina: 515/.42
• Soggetto topico: Measure theory
• Note generali: Title from publisher's bibliographic system (viewed on 05 Oct 2015).
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: From Measures to Itô Integrals
• ISBN: 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
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910465426703321
• Lo trovi qui: Univ. Federico II
• Serie: AIMS library series.