Capasso / Bakstein An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine
1. Auflage 2008
ISBN: 978-0-8176-4428-4
Verlag: Birkhäuser Boston
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 347 Seiten, Web PDF

Reihe: Mathematics and Statistics (R0)

This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes.  Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.

Zielgruppe

Research

Autoren/Hrsg.

Capasso, Vincenzo

Bakstein, David

Inhaltsverzeichnis

The Theory of Stochastic Processes.- Fundamentals of Probability.- Stochastic Processes.- The Itô Integral.- Stochastic Differential Equations.- The Applications of Stochastic Processes.- Applications to Finance and Insurance.- Applications to Biology and Medicine.