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From Measures to Itô Integrals

From Measures to Itô Integrals

Paperback

Series: Aims Library of Mathematical Sciences

CalculusGeneral Mathematics

ISBN10: 1107400864
ISBN13: 9781107400863
Publisher: Cambridge University Press
Published: Mar 31 2011
Pages: 128
Weight: 0.35
Height: 0.30 Width: 5.40 Depth: 8.30
Language: English
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.

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General Mathematics