An Introduction to Continuous-time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine

Vincenzo Capasso, David Bakstein - Collection Modeling and Simulation Science, Engineering and Technology

343 pages, parution le 14/02/2005

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Résumé

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, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required.

Key topics covered include:

Interacting particles and agent-based models (ant colonies)
Population dynamics: from birth and death processes to epidemics
Financial market models: the non-arbitrage principle
Contingent claim valuation models
Risk analysis in insurance

An Introduction to Continuous-Time Stochastic Processes will be of interest to a broad audience of students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, biotechnology, physics, and engineering. Suitable as a textbook for graduate or advanced undergraduate courses, 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.

Sommaire

The Theory of Stochastic Processes
- Fundamentals of Probability
- Stochastic Processes
- The Itô Integral
- Stochastic Differential Equations
The Applications of Stochastic Processes
- Applications to Finance and Insurance
- Applications to Biology and Medicine
Appendices
- A: Measure and Integration
- B: Convergence of Probability Measures on Metric Spaces
- C: Maximum Principles of Elliptic and Parabolic Operators
- D: Stability of Ordinary Differential Equations

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Birkhäuser
Auteur(s)	Vincenzo Capasso, David Bakstein
Collection	Modeling and Simulation Science, Engineering and Technology
Parution	14/02/2005
Nb. de pages	343
Format	16 x 24
Couverture	Relié
Poids	628g
Intérieur	Noir et Blanc
EAN13	9780817632342
ISBN13	978-0-8176-3234-2