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

✍ Scribed by Vincenzo Capasso, David Bakstein (auth.)

• Publisher: Birkhäuser Basel
• Year: 2012
• Tongue: English
• Leaves: 449
• Series: Modeling and Simulation in Science, Engineering and Technology
• Edition: 2
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages i-xiii
Front Matter....Pages 1-1
Fundamentals of Probability....Pages 3-76
Stochastic Processes....Pages 77-171
The Itô Integral....Pages 173-212
Stochastic Differential Equations....Pages 213-273
Front Matter....Pages 275-275
Applications to Finance and Insurance....Pages 277-310
Applications to Biology and Medicine....Pages 311-358
Back Matter....Pages 359-434

✦ Subjects

Probability Theory and Stochastic Processes; Mathematical Modeling and Industrial Mathematics; Quantitative Finance; Mathematical and Computational Biology; Applications of Mathematics; Appl.Mathematics/Computational Methods of Engineeri