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Item Details
| Title:
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AN INTRODUCTION TO CONTINUOUS-TIME STOCHASTIC PROCESSES
THEORY, MODELS, AND APPLICATIONS TO FINANCE, BIOLOGY, AND MEDICINE |
| By: |
Vincenzo Capasso, David Bakstein |
| Format: |
Hardback |
| List price:
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£79.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
1493927566 |
| ISBN 13: |
9781493927562 |
| Publisher: |
BIRKHAUSER BOSTON INC |
| Pub. date: |
29 May, 2015 |
| Edition: |
3rd ed. 2015 |
| Series: |
Modeling and Simulation in Science, Engineering and Technology |
| Pages: |
482 |
| Description: |
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. |
| Synopsis: |
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 |
| Illustrations: |
4 Tables, black and white; 14 Illustrations, black and white; XVI, 482 p. |
| Publication: |
US |
| Imprint: |
Birkhauser Boston Inc |
| Returns: |
Returnable |
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