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|a 9780817683467
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|a Capasso, Vincenzo
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|a An Introduction to Continuous-Time Stochastic Processes
|h Elektronische Ressource
|b Theory, Models, and Applications to Finance, Biology, and Medicine
|c by Vincenzo Capasso, David Bakstein
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| 250 |
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|a 2nd ed. 2012
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| 260 |
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|a Boston, MA
|b Birkhäuser
|c 2012, 2012
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| 300 |
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|a XIII, 434 p. 14 illus
|b online resource
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|a 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
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| 653 |
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|a Mathematics in Business, Economics and Finance
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| 653 |
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|a Engineering mathematics
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| 653 |
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|a Mathematical and Computational Biology
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| 653 |
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|a Probability Theory
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| 653 |
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|a Biomathematics
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| 653 |
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|a Social sciences / Mathematics
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| 653 |
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|a Mathematical Modeling and Industrial Mathematics
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| 653 |
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|a Engineering / Data processing
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| 653 |
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|a Applications of Mathematics
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| 653 |
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|a Mathematics
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| 653 |
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|a Mathematical and Computational Engineering Applications
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| 653 |
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|a Probabilities
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| 653 |
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|a Mathematical models
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| 700 |
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|a Bakstein, David
|e [author]
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b Springer
|a Springer eBooks 2005-
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| 490 |
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|a Modeling and Simulation in Science, Engineering and Technology
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| 028 |
5 |
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|a 10.1007/978-0-8176-8346-7
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| 856 |
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|u https://doi.org/10.1007/978-0-8176-8346-7?nosfx=y
|x Verlag
|3 Volltext
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|a 519.2
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|a From reviews of First Edition: 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 This is an introductory text on continuous time stochastic processes and their applications to finance and biology. ... The book will be useful for applied mathematicians who are not probabilists to get a quick flavour of the techniques of stochastic calculus, and for professional probabilists to get a quick flavour of the applications.
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| 520 |
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|a Key topics include: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics * Agent-based models New to the Second Edition: * Improved presentation of original concepts * Expanded background on probability theory * Substantial material applicable to finance and biology, including stable laws, Lévy processes, and Itô-Lévy calculus * Supplemental appendixto provide basic facts on semigroups of linear operators An Introduction to Continuous-Time Stochastic Processes, Second 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.
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| 520 |
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|a —Mathematical Reviews Revised and enhanced, this concisely written second edition of An Introduction to Continuous-Time Stochastic Processes is 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.
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| 520 |
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|a 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
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