From Measures to Ito Integrals (BOK)

Ekkehard Kopp

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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 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 Ito calculus.

Produktfakta

Språk Engelsk Engelsk Innbinding Heftet
Utgitt 2011 Forfatter Ekkehard Kopp
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9781107400863
Antall sider 128 Dimensjoner 13,9cm x 21,6cm x 0,9cm
Vekt 168 gram Leverandør Bertram Trading Ltd
Emner og form Finance, Probability & statistics, Integral calculus & equations