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|a 9781493927579
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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 3rd ed. 2015
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| 260 |
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|a New York, NY
|b Birkhäuser
|c 2015, 2015
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| 300 |
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|a XVI, 482 p. 14 illus
|b online resource
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| 505 |
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|a 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
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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 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 |
1 |
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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 |
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|a 10.1007/978-1-4939-2757-9
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| 856 |
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|u https://doi.org/10.1007/978-1-4939-2757-9?nosfx=y
|x Verlag
|3 Volltext
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| 082 |
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|a 519.2
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| 520 |
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|a 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.
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| 520 |
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|a 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.
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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, 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.
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