An Introduction to Continuous-time Stochastic Processes
Theory, Models and Applications to Finance, Biology and Medicine
Seiten
2004
|
2005. Corr. 2nd Printing ed.
Birkhauser Boston Inc (Verlag)
978-0-8176-3234-2 (ISBN)
Birkhauser Boston Inc (Verlag)
978-0-8176-3234-2 (ISBN)
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An introduction to the theory of continuous-time stochastic processes. It covers such topics as interacting particles and agent-based models: from polymers to ants; population dynamics: from birth and death processes to epidemics; and, financial market models: the non-arbitrage principle. It is suitable for those in mathematical finance.
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.
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.
Preface Part I. The Theory of Stochastic Processes Fundamentals of Probability Stochastic Processes The Ito Integral Stochastic Differential Equations Part II. The Applications of Stochastic Processes Applications to Finance and Insurance Applications to Biology and Medicine Part III. Appendices A. Measure and Integration B. Convergence of Probability Measures on Metric Spaces C. Maximum Principles of Elliptic and Parabolic Operators D. Stability of Ordinary Differential Equations References
| Reihe/Serie | Modeling and Simulation in Science, Engineering & Technology |
|---|---|
| Zusatzinfo | 1, black & white illustrations |
| Verlagsort | Secaucus |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Gewicht | 680 g |
| Einbandart | gebunden |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| ISBN-10 | 0-8176-3234-4 / 0817632344 |
| ISBN-13 | 978-0-8176-3234-2 / 9780817632342 |
| Zustand | Neuware |
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