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An Introduction to Continuous-Time Stochastic Processes Theory, Models, and Applications to Finance, Biology, and Medicine /
This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling r...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer New York : Imprint: Birkhäuser,
2015.
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| Edición: | 3rd ed. 2015. |
| Colección: | Modeling and Simulation in Science, Engineering and Technology,
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| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 100 | 1 | |a Capasso, Vincenzo. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 3 | |a An Introduction to Continuous-Time Stochastic Processes |h [electronic resource] : |b Theory, Models, and Applications to Finance, Biology, and Medicine / |c by Vincenzo Capasso, David Bakstein. |
| 250 | |a 3rd ed. 2015. | ||
| 264 | 1 | |a New York, NY : |b Springer New York : |b Imprint: Birkhäuser, |c 2015. | |
| 300 | |a XVI, 482 p. 14 illus. |b online resource. | ||
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| 490 | 1 | |a Modeling and Simulation in Science, Engineering and Technology, |x 2164-3725 | |
| 505 | 0 | |a Part I: Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- Stability, Stationary, Ergodicity -- Part II: Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine -- Measure and Integration -- Convergence of Probability Measures on Metric Spaces -- Appendices. | |
| 520 | |a This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Key topics include: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agent-based models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * Karhunen-Loeve expansion * Additional applications * Additional exercises * Smoluchowski approximation of Langevin systems An Introduction to Continuous-Time Stochastic Processes, Third Edition will be of interest to a broad audience of students, pure and applied mathematicians, and researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or undergraduate courses, as well as European Masters courses (according to the two-year-long second cycle of the "Bologna Scheme"), the work may also be used for self-study or as a reference. Prerequisites include knowledge of calculus and some analysis; exposure to probability would be helpful but not required since the necessary fundamentals of measure and integration are provided. From reviews of previous editions: "The book is ... an account of fundamental concepts as they appear in relevant modern applications and literature. ... The book addresses three main groups: first, mathematicians working in a different field; second, other scientists and professionals from a business or academic background; third, graduate or advanced undergraduate students of a quantitative subject related to stochastic theory and/or applications." -Zentralblatt MATH. | ||
| 650 | 0 | |a Probabilities. | |
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| 650 | 2 | 4 | |a Mathematical Modeling and Industrial Mathematics. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Mathematical and Computational Biology. |
| 650 | 2 | 4 | |a Mathematical and Computational Engineering Applications. |
| 700 | 1 | |a Bakstein, David. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
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