Lecture Notes in Economics and Mathematical Systems
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The lecture notes are organized as follows: Chapter 1 gives a conciseoverview of the theory of Lebesgue and Stieltjes integration and convergencetheorems used repeatedly in this course. For mathematic students,familiar e.g. with the content of Bauer (1996) or Bauer (2001),this chapter can be skipped or used as additional reference .Chapter 2 follows closely F¨ollmer’s approach to Itˆo’s calculus, and isto a large extent based on lectures given by him in Bonn (see Foellmer(1991)). A motivation for this approach is given in Sect. 2.1. This sectionprovides a good introduction to the course, since it starts withfamiliar concepts from real analysis....
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Lecture Notes in Economics and Mathematical Systems
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Lecture Notes in Economics and Mathematical Systems
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