An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine / / by Vincenzo Capasso, David Bakstein

• Autore: Capasso Vincenzo
• Pubblicazione: New York, NY : , : Springer New York : , : Imprint : Birkhäuser, , 2015
• Edizione: 3rd ed. 2015.
• Descrizione fisica: 1 online resource (XVI, 482 p. 14 illus.)
• Disciplina: 332
• Soggetto topico: Probabilities; Mathematical models; Social sciences - Mathematics; Biomathematics; Engineering mathematics; Engineering - Data processing; Probability Theory; Mathematical Modeling and Industrial Mathematics; Mathematics in Business, Economics and Finance; Mathematical and Computational Biology; Mathematical and Computational Engineering Applications
• Persona (resp. second.): BaksteinDavid
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: An Introduction to Continuous-Time Stochastic Processes
• ISBN: 1-4939-2757-4
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910299761203321
• Lo trovi qui: Univ. Federico II
• Serie: Modeling and Simulation in Science, Engineering and Technology, . 2164-3725