From Measures to Ito Integrals / Ekkehard Kopp.
"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 theo...
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| Superior document: | African Institute of Mathematics Library series |
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| Year of Publication: | 2011 |
| Language: | English |
| Series: | AIMS library series.
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| Online Access: | |
| Physical Description: | vii, 120p. :; ill. |
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Table of Contents:
- Machine generated contents note: 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.