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

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

Vincenzo / Bakstein Capasso - Collection Yellow Sale 2023

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560 pages, parution le 19/06/2022
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Résumé

This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations.This textbook, now in its fourth 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, it 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. Unlike other books on stochastic methods that specialize in a specific field of applications, this volume examines the ways in which similar stochastic methods can be applied across different fields.
Beginning with the fundamentals of probability, the authors go on to introduce the theory of stochastic processes, the Ito Integral, and stochastic differential equations. The following chapters then explore stability, stationarity, and ergodicity. The second half of the book is dedicated to applications to a variety of fields, including finance, biology, and medicine. Some highlights of this fourth edition include a more rigorous introduction to Gaussian white noise, additional material on the stability of stochastic semigroups used in models of population dynamics and epidemic systems, and the expansion of methods of analysis of one-dimensional stochastic differential equations.
An Introduction to Continuous-Time Stochastic Processes, Fourth Edition is intended for graduate students taking an introductory course on stochastic processes, applied probability, stochastic calculus, mathematical finance, or mathematical biology. 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. Researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering will also find this volume to be of interest, particularly the applications explored in the second half of the book.
Foreword.- Preface to the Fourth Edition.- Preface to the Third Edition.- Preface to the Second Edition.- Preface.- Part I: Theory of Stochastic Processes.- Fundamentals of Probability.- Stochastic Processes.- The Ito 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.- Diffusion Approximation of a Langevin System.- Elliptic and Parabolic Equations.- Semigroups of Linear Operators.- Stability of Ordinary Differential Equations.- References.- Nomenclature.- Index.
Vincenzo Capasso is a Professor of Probability and Mathematical Statistics at the University of Milan, an elected member of the International Statistics Institute, a Fellow of The Institute of Mathematics and its Applications - UK, Past President of ECMI (the European Consortium for Mathematics in Industry), and Past President of ESMTB (European Society for Mathematical and Theoretical Biology).
David Bakstein has been working in the financial industry for close to 25 years, many of those dedicated to applied mathematical models. He originally studied and taught at both the LSE and University of Oxford (OCIAM & Lady Margaret Hall).

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  PAPIER
Éditeur(s) Springer
Auteur(s) Vincenzo / Bakstein Capasso
Collection Yellow Sale 2023
Parution 19/06/2022
Nb. de pages 560
EAN13 9783030696559

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