From Measures to Ito Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Ito 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 Ito calculus.
- ISBN13 9780511813115
- Publish Date 5 June 2012 (first published 1 January 2011)
- Publish Status Active
- Publish Country GB
- Publisher Cambridge University Press
- Imprint Cambridge University Press (Virtual Publishing)
- Format eBook
- Language English