TY  - BOOK
AU  - Capasso,Vincenzo
AU  - Bakstein,David
ED  - SpringerLink (Online service)
TI  - An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine 
T2  - Modeling and Simulation in Science, Engineering and Technology,
SN  - 9781493927579
AV  - QA273.A1-274.9 
U1  - 519.2 23
PY  - 2015///
CY  - New York, NY
PB  - Springer New York, Imprint: Birkhäuser
KW  - mathematics
KW  - Economics, Mathematical
KW  - Mathematical models
KW  - Probabilities
KW  - Biomathematics
KW  - Applied mathematics
KW  - Engineering mathematics
KW  - Mathematics
KW  - Probability Theory and Stochastic Processes
KW  - Mathematical Modeling and Industrial Mathematics
KW  - Quantitative Finance
KW  - Mathematical and Computational Biology
KW  - Appl.Mathematics/Computational Methods of Engineering
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/978-1-4939-2757-9
ER  -