Loeb Measures in Practice: Recent Advances EMS Lectures 1997 /

• Main Author: Cutland, Nigel J. (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2000.
• Edition: 1st ed. 2000.
• Series: Lecture Notes in Mathematics, 1751
• Subjects: Mathematical logic.; Functions of real variables.; Probabilities.; Economics, Mathematical .; Mathematical Logic and Foundations.; Real Functions.; Probability Theory and Stochastic Processes.; Quantitative Finance.
• Physical Description: CXXXII, 118 p. online resource.
• ISBN: 9783540445319
• ISSN: 0075-8434 ;
• DOI: 10.1007/b76881

This expanded version of the 1997 European Mathematical Society Lectures given by the author in Helsinki, begins with a self-contained introduction to nonstandard analysis (NSA) and the construction of Loeb Measures, which are rich measures discovered in 1975 by Peter Loeb, using techniques from NSA. Subsequent chapters sketch a range of recent applications of Loeb measures due to the author and his collaborators, in such diverse fields as (stochastic) fluid mechanics, stochastic calculus of variations ("Malliavin" calculus) and the mathematical finance theory. The exposition is designed for a general audience, and no previous knowledge of either NSA or the various fields of applications is assumed.