Martingales and Stochastic Integrals by P. E. Kopp - 9780521090339

Martingales and Stochastic IntegralsAuthor(s): P. E. Kopp\nFormat: Paperback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521090339, 978-0521090339\nSynopsis\nThis book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable impor.