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_a9781493927579 _9978-1-4939-2757-9 |
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_a10.1007/978-1-4939-2757-9 _2doi |
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_aSpringer _cSpringer _dRU-ToGU |
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_a519.2 _223 |
| 100 | 1 |
_aCapasso, Vincenzo. _eauthor. _9310811 |
|
| 245 | 1 | 3 |
_aAn Introduction to Continuous-Time Stochastic Processes _helectronic resource _bTheory, Models, and Applications to Finance, Biology, and Medicine / _cby Vincenzo Capasso, David Bakstein. |
| 250 | _a3rd ed. 2015. | ||
| 260 |
_aNew York, NY : _bSpringer New York : _bImprint: Birkhäuser, _c2015. |
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| 300 |
_aXVI, 482 p. 14 illus. _bonline resource. |
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_acomputer _bc _2rdamedia |
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_aonline resource _bcr _2rdacarrier |
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| 490 | 1 |
_aModeling and Simulation in Science, Engineering and Technology, _x2164-3679 |
|
| 505 | 0 | _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. | ||
| 650 | 0 |
_amathematics. _9566183 |
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| 650 | 0 |
_aEconomics, Mathematical. _9304111 |
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| 650 | 0 |
_aMathematical models. _9460208 |
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| 650 | 0 |
_aEngineering mathematics. _9303575 |
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| 650 | 1 | 4 |
_aMathematics. _9566184 |
| 650 | 2 | 4 |
_aProbability Theory and Stochastic Processes. _9303734 |
| 650 | 2 | 4 |
_aMathematical Modeling and Industrial Mathematics. _9303944 |
| 650 | 2 | 4 |
_aQuantitative Finance. _9304891 |
| 650 | 2 | 4 |
_aMathematical and Computational Biology. _9411705 |
| 650 | 2 | 4 |
_aAppl.Mathematics/Computational Methods of Engineering. _9303577 |
| 700 | 1 |
_aBakstein, David. _eauthor. _9311278 |
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| 710 | 2 |
_aSpringerLink (Online service) _9143950 |
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_aModeling and Simulation in Science, Engineering and Technology, _9306900 |
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| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-1-4939-2757-9 |
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