In this highly successful textbook, core ideas of measure and integration are explored, and martingales are used to develop the theory further. Other topics are also covered such as Jacobi's ...

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Stochastic processes as martingales have extensive applications in stochastic problems. They arise naturally whenever one needs to consider mathematical expectations with respect to increasing ...

Greenwood, Robin, and Luis M. Viceira. "Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy (TN)." Harvard Business School Teaching Note 211-079, January 2011. (Revised ...

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The basic theory - measures, integrals, convergence theorems, Lp-spaces and multiple integrals - is explored in the first part of the book. The second part then uses the notion of martingales to ...

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