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|a Capasso, Vincenzo.
|e author.
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|4 http://id.loc.gov/vocabulary/relators/aut
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| 245 |
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|a An Introduction to Continuous-Time Stochastic Processes
|h [electronic resource] :
|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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| 264 |
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|a New York, NY :
|b Springer New York :
|b Imprint: Birkhäuser,
|c 2015.
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| 300 |
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|a XVI, 482 p. 14 illus.
|b online resource.
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| 490 |
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|a Modeling and Simulation in Science, Engineering and Technology,
|x 2164-3679
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| 490 |
1 |
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|a Springer eBook Collection
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| 505 |
0 |
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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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| 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. 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. 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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| 590 |
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|a Loaded electronically.
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| 590 |
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|a Electronic access restricted to members of the Holy Cross Community.
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| 650 |
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|a Probabilities.
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| 650 |
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|a Mathematical models.
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| 650 |
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|a Economics, Mathematical .
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| 650 |
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|a Biomathematics.
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| 650 |
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|a Applied mathematics.
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| 650 |
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|a Engineering mathematics.
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| 690 |
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|a Electronic resources (E-books)
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| 700 |
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|a Bakstein, David.
|e author.
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