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

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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....

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Bibliographic Details
Uniform Title:AIMS library series.
Main Author: Kopp, P. E., 1944- (Author)
Language:English
Published: Cambridge : Cambridge University Press, 2011.
Series:AIMS library series.
Subjects:
Measure theory > Textbooks.
Genre:
Textbooks.
Online Access:
ProQuest Ebook Central - Academic Complete: 2011 (Ebook Central @ Proquest)
EBSCO eBooks: 2011 (EBSCO)
eBook Academic Collection (EBSCOhost) – North America: 2011 (EBSCO)
Variant Title:
From Measures to Itô Integrals
Format: Electronic eBook
Contents:
  • Machine generated contents note: Preface; 1. Probability and measure; 2. Measures and distribution functions; 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.