From Measures to Itô Integrals

Erscheinungsjahr 2011
ISBN: 978-1-107-40086-3
Verlag: Cambridge University Press

Buch, Englisch, 128 Seiten, Format (B × H): 137 mm x 211 mm, Gewicht: 159 g

Reihe: AIMS Library of Mathematical Sciences

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.

Autoren/Hrsg.

Kopp, Ekkehard

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Mathematische Analysis Integralrechnungen- und -gleichungen
• Mathematik | Informatik Mathematik Geometrie Dynamische Systeme
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme

Inhaltsverzeichnis

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.

Über Autor(innen)

Kopp, Ekkehard
Ekkehard Kopp studied at Stellenbosch University and obtained his PhD from the University of Oxford in 1970. He held academic positions at the University of Hull from 1970 until his retirement in 2004, including serving as Dean of Mathematics and Pro-Vice-Chancellor. He is the author of over 50 publications in analysis, probability and mathematical finance.

Ekkehard Kopp studied at Stellenbosch University and obtained his PhD from the University of Oxford in 1970. He held academic positions at the University of Hull from 1970 until his retirement in 2004, including serving as Dean of Mathematics and Pro-Vice-Chancellor. He is the author of over 50 publications in analysis, probability and mathematical finance.