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Kopp E. From Measures to Itô Integrals

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Kopp E. From Measures to Itô Integrals
Cambridge University Press, 2011. — 128 p. — (AIMS Library of Mathematical Sciences). — ISBN10: 1107400864 ISBN13: 978-1107400863
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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