This concise introduction to the background theory of stochastic processes begins with a clear account of measure theory and leads up to the Itô formula and its basic applications in Black–Scholes theory. Ideal for beginning graduate students, this treatment is reasonably rigorous and includes carefully chosen exercises.
Title: From Measures to Ito Integrals
Series: AIMS LIBRARY SERIES
Author: Ekkehard Kopp
Publisher: Cambridge University Press
Applicable Grades/Level: Academic Publication
Type: Academic Resources