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...

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Những tác giả chính:	Capasso, Vincenzo, Bakstein, David
Định dạng:	Sách
Ngôn ngữ:	English
Được phát hành:	Springer 2015
Những chủ đề:	Biology Medicine Theory
Truy cập trực tuyến:	https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57458
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spelling	oai:scholar.dlu.edu.vn:DLU123456789-574582023-11-11T05:45:49Z An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine Capasso, Vincenzo Bakstein, David Biology Medicine Theory 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. 2015-08-14T03:48:44Z 2015-08-14T03:48:44Z 2015 Book 978-1-4939-2757-9 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57458 en application/pdf Springer
institution	Thư viện Trường Đại học Đà Lạt
collection	Thư viện số
language	English
topic	Biology Medicine Theory
spellingShingle	Biology Medicine Theory Capasso, Vincenzo Bakstein, David An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
description	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.
format	Book
author	Capasso, Vincenzo Bakstein, David
author_facet	Capasso, Vincenzo Bakstein, David
author_sort	Capasso, Vincenzo
title	An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
title_short	An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
title_full	An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
title_fullStr	An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
title_full_unstemmed	An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
title_sort	introduction to continuous-time stochastic processes: theory, models, and applications to finance, biology, and medicine
publisher	Springer
publishDate	2015
url	https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57458
_version_	1782546456695013376

An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine

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