From Measures to It�o Integrals
"From Measures to It�o Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, It�o 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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| Autor corporatiu: | |
| Format: | Electrònic eBook |
| Idioma: | anglès |
| Publicat: |
Cambridge [England] ; New York :
Cambridge University Press,
2011.
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| Col·lecció: | AIMS library series.
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| Matèries: | |
| Accés en línia: | An electronic book accessible through the World Wide Web; click to view |
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Taula de continguts:
- 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.