An Introduction to Continuous-Time Stochastic Processes [electronic resource] :Theory, Models, and Applications to Finance, Biology, and Medicine / by Vincenzo Capasso, David Bakstein.
by Capasso, Vincenzo [author.]; Bakstein, David [author.]; SpringerLink (Online service).
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BookSeries: Modeling and Simulation in Science, Engineering and Technology: Publisher: Boston, MA : Birkhäuser Boston, 2005.Description: XI, 343p. 13 illus. online resource.ISBN: 9780817644284.Subject(s): Mathematics | Biology -- Mathematics | Finance | Distribution (Probability theory) | Engineering mathematics | Mathematics | Probability Theory and Stochastic Processes | Mathematical Modeling and Industrial Mathematics | Applications of Mathematics | Mathematical Biology in General | Quantitative Finance | Appl.Mathematics/Computational Methods of EngineeringDDC classification: 519.2 Online resources: Click here to access online | Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| QA274-274.9 (Browse shelf) | Available | ||||
| Long Loan | MAIN LIBRARY | QA273.A1-274.9 (Browse shelf) | Available |
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| QA440-699 Complex, Contact and Symmetric Manifolds | QA276-280 Analysis of Variance for Random Models | QA273.A1-274.9 An Introduction to Continuous-Time Stochastic Processes | QA274-274.9 An Introduction to Continuous-Time Stochastic Processes | QA269-272 Advances in Dynamic Games | QA403-403.3 Time-Frequency and Time-Scale Methods | QA150-272 103 Trigonometry Problems |
The Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- The Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine.
This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of 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 covered include: * Interacting particles and agent-based models: from polymers to ants * Population dynamics: from birth and death processes to epidemics * Financial market models: the non-arbitrage principle * Contingent claim valuation models: the risk-neutral valuation theory * Risk analysis in insurance An Introduction to Continuous-Time Stochastic Processes will be of interest to a broad audience of students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or advanced undergraduate courses, 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.
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