An Introduction to Continuous-Time Stochastic Processes
Theory, Models, and Applications to Finance, Biology, and Medicine
Seiten
2012
|
2nd Revised edition
Birkhauser Boston Inc (Verlag)
978-0-8176-8345-0 (ISBN)
Birkhauser Boston Inc (Verlag)
978-0-8176-8345-0 (ISBN)
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Here is a self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and application, the book offers examples of real-world modeling from biology, medicine, industry, finance and insurance using stochastic methods.
Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, this concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of 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.
Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, this concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of 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.
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.- Measure and Integration.- Convergence of Probability Measures on Metric Spaces.- Elliptic and Parabolic Operators.- D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations.- References.
| Reihe/Serie | Modeling and Simulation in Science, Engineering and Technology |
|---|---|
| Zusatzinfo | 14 black & white illustrations, 4 black & white tables, biography |
| Verlagsort | Secaucus |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Gewicht | 805 g |
| Einbandart | gebunden |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Wirtschaft ► Betriebswirtschaft / Management | |
| Schlagworte | Brownian motion • Differential Equations • Ito integral • Levy process • Markov process • Martingale • Point Process • population dynamics • risk analysis • Stochastic Processes • Stochastischer Prozess |
| ISBN-10 | 0-8176-8345-3 / 0817683453 |
| ISBN-13 | 978-0-8176-8345-0 / 9780817683450 |
| Zustand | Neuware |
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