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MARC 21

An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
Tag	Description
020	$a9781493927579
082	$a519.2
099	$aOnline Resource: Birkhäuser
100	$aCapasso, Vincenzo.
245	$aAn Introduction to Continuous-Time Stochastic Processes$h[EBook]$bTheory, Models, and Applications to Finance, Biology, and Medicine$cby Vincenzo Capasso, David Bakstein.
250	$a3rd ed. 2015.
260	$aNew York, NY$bBirkhäuser$c2015
300	$aXVI, 482 pages, 14 illus.$bonline resource.
336	$atext
338	$aonline resource
440	$aModeling and Simulation in Science, Engineering and Technology,$x2164-3679
505	$aPart 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.
520	$aThis 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.
538	$aOnline access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
700	$aBakstein, David.$eauthor.
710	$aSpringerLink (Online service)
830	$aModeling and Simulation in Science, Engineering and Technology,
856	$uhttp://dx.doi.org/10.1007/978-1-4939-2757-9