From Measures to Itô Integrals /

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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 th...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Kopp, P. E., 1944- (Author)
Format: Electronic eBook
Language:Inglés
Published: Cambridge ; New York : Cambridge University Press, 2011, ©2011.
Series:AIMS library series.
Subjects:
Measure theory > Textbooks.
MATHEMATICS > Mathematical Analysis.
MATHEMATICS > Calculus.
Medición
Measure theory
Maßtheorie
Textbooks
Online Access:Texto completo
Table of Contents:
  • Probability and measure
  • Measures and distribution functions
  • Measurable functions/random variables
  • Integration and expectation
  • Lp-spaces and conditional expectation
  • Discrete-time martingales
  • Brownian motion
  • Stochastic integrals.

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