An Introduction to Continuous-Time Stochastic Processes Theory, Models, and Applications to Finance, Biology, and Medicine /

• Main Authors: Capasso, Vincenzo (Author), Bakstein, David (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Birkhäuser, 2015.
• Edition: 3rd ed. 2015.
• Series: Modeling and Simulation in Science, Engineering and Technology,
• Subjects: Mathematics.; Economics, Mathematical.; Mathematical models.; Probabilities.; Biomathematics.; Applied mathematics.; Engineering mathematics.; Probability Theory and Stochastic Processes.; Mathematical Modeling and Industrial Mathematics.; Quantitative Finance.; Mathematical and Computational Biology.; Appl.Mathematics/Computational Methods of Engineering.

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 r...

Table of Contents:

• 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.