Measure, Integral and Probability is a gentle introduction that makes measure and integration theory accessible to the average third-year undergraduate student. The ideas are developed at an easy pace in a form that is suitable for self-study, with an emphasis on clear explanations and concrete examples rather than abstract theory.
For this second edition, the text has been thoroughly revised and expanded. New features include:
* a substantial new chapter, featuring a constructive proof of the Radon-Nikodym theorem, an analysis of the structure of Lebesgue-Stieltjes measures, the Hahn-Jordan decomposition, and a brief introduction to martingales
* key aspects of financial modelling, including the Black-Scholes formula, discussed briefly from a measure-theoretical perspective to help the reader understand the underlying mathematical framework.
In addition, further exercises and examples are provided to encourage the reader to become directly involved with the material.
- ISBN13 9781852337810
- Publish Date April 2004 (first published 24 October 1998)
- Publish Status Active
- Publish Country GB
- Imprint Springer London Ltd
- Edition Softcover reprint of the original 2nd ed. 2004
- Format Paperback
- Pages 311
- Language English