Pub. Date:
Cambridge University Press
From Measures to Ito Integrals

From Measures to Ito Integrals

by Ekkehard Kopp


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Product Details

ISBN-13: 9781107400863
Publisher: Cambridge University Press
Publication date: 03/31/2011
Series: AIMS Library of Mathematical Sciences Series , #3
Pages: 128
Product dimensions: 5.40(w) x 8.40(h) x 0.40(d)

About the Author

Ekkehard Kopp studied at Stellenbosch University and obtained his PhD from the University of Oxford in 1970. He held academic positions at the University of Hull from 1970 until his retirement in 2004, including serving as Dean of Mathematics and Pro-Vice-Chancellor. He is the author of over 50 publications in analysis, probability and mathematical finance.

Table of Contents

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.

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