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An Introduction to Continuous-Time S...
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Capasso, Vincenzo.
An Introduction to Continuous-Time Stochastic Processes = Theory, Models, and Applications to Finance, Biology, and Medicine /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
An Introduction to Continuous-Time Stochastic Processes/ by Vincenzo Capasso, David Bakstein.
其他題名:
Theory, Models, and Applications to Finance, Biology, and Medicine /
作者:
Capasso, Vincenzo.
其他作者:
Bakstein, David.
面頁冊數:
XVI, 482 p. 14 illus.online resource. :
Contained By:
Springer Nature eBook
標題:
Probabilities. -
電子資源:
https://doi.org/10.1007/978-1-4939-2757-9
ISBN:
9781493927579
An Introduction to Continuous-Time Stochastic Processes = Theory, Models, and Applications to Finance, Biology, and Medicine /
Capasso, Vincenzo.
An Introduction to Continuous-Time Stochastic Processes
Theory, Models, and Applications to Finance, Biology, and Medicine /[electronic resource] :by Vincenzo Capasso, David Bakstein. - 3rd ed. 2015. - XVI, 482 p. 14 illus.online resource. - Modeling and Simulation in Science, Engineering and Technology,2164-3679. - Modeling and Simulation in Science, Engineering and Technology,.
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.
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.
ISBN: 9781493927579
Standard No.: 10.1007/978-1-4939-2757-9doiSubjects--Topical Terms:
527847
Probabilities.
LC Class. No.: QA273.A1-274.9
Dewey Class. No.: 519.2
An Introduction to Continuous-Time Stochastic Processes = Theory, Models, and Applications to Finance, Biology, and Medicine /
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