Capasso / Bakstein An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine
2. Auflage 2012
ISBN: 978-0-8176-8346-7
Verlag: Birkhäuser Boston
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 434 Seiten

Reihe: Mathematics and Statistics

Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes , 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.

Zielgruppe

Research

Autoren/Hrsg.

Capasso, Vincenzo

Bakstein, David

Inhaltsverzeichnis

Part I. The Theory of Stochastic Processes.- Fundamentals of Probability.- Stochastic Processes.- The Itô Integral.- Stochastic Differential Equations.- Part II. The Applications of Stochastic Processes.- Applications to Finance and Insurance.- Applications to Biology and Medicine.- Part III. Appendices.- Measure and Integration.- Convergence of Probability Measures on Metric Spaces.- Elliptic and Parabolic Operators.- D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations.- References.