From Measures to Itô Integrals / Ekkehard Kopp.
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. Th...
| Uniform Title: | AIMS library series.
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| Language: | English |
| Published: |
Cambridge :
Cambridge University Press,
2011.
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| Series: | AIMS library series.
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| Online Access: | |
| Physical Description: | 1 online resource (vii, 120 pages) : digital, PDF file(s). |
| Format: | Electronic eBook |
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