Loeb Measures in Practice: Recent Advances

Download or read book Loeb Measures in Practice: Recent Advances written by Nigel J. Cutland and published by Springer. This book was released on 2004-10-11 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.