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  3. From Measures to Itô Integrals
  • Cited by 3
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    • Publisher:
      Cambridge University Press
      Publication date:
      June 2012
      March 2011
      ISBN:
      9780511813115
      9781107400863
      DOI:
      https://doi.org/10.1017/CBO9780511813115
      Dimensions:
      Weight & Pages:
      Dimensions:
      (216 x 138 mm)
      Weight & Pages:
      0.17kg, 128 Pages
      • Subjects:
      Mathematics (general), Mathematics, Abstract Analysis, Mathematical Finance, General and Classical Physics
      Series:
      AIMS Library of Mathematical Sciences
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    Subjects:
    Mathematics (general), Mathematics, Abstract Analysis, Mathematical Finance, General and Classical Physics
    Series:
    AIMS Library of Mathematical Sciences
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    Book description

    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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