Loeb measures in practice: Recent advances. EMS lectures 1997 (Q1591708): Difference between revisions

As stated in the Preface, the monograph is based on a series of lectures presented by the author as the 1997 EMS Lecturer at the University of Helsinki. The lectures were tailored for a general audience to present a glimpse of the Loeb measure construction from nonstandard analysis and how it can be applied to areas of stochastic fluid dynamics, the stochastic calculus of variations, and the mathematical finance theory. There is no doubt that the expanded version fills a gap in the existing literature on the efficacy of the methods of nonstandard analysis to the abovementioned fields. Chapter 1, entitled ``Loeb measures,'' contains a very readable and attractive account of the methods of nonstandard analysis that play an important role in the applications to follow. Stochastic fluid mechanics is the topic of Chapter 2. It is the longest of the monograph and deals with various aspects of the theory of the Navier-Stokes equations. The so-called flat integral representation of the Wiener measure and Brownian motion along with the Malliavin calculus are treated in Chapter 3. The Black-Scholes method is the main topic of the last Chapter 4 and highlights certain aspects of the mathematical finance theory. The author is to be commended for the brilliant manner in which he has been able to present such a convincing treatment of these important topics based in the nonstandard theory of measures and their constructions in about 100 pages.