Verkauf durch Sack Fachmedien

Capasso / Bakstein

An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine

Medium: Buch
ISBN: 978-0-8176-3234-2
Verlag: Birkhäuser
Erscheinungstermin: 10.01.2005
Nicht mehr lieferbar

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.


Produkteigenschaften


Autoren/Hrsg.

Autoren

Preface
Part I. The Theory of Stochastic Processes
Fundamentals of Probability
Stochastic Processes
The Itô 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