E Book

An Introduction to Continuous-Time Stochastic Processes

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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.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. Key topics covered include: * Interacting particles and agent-based models: from polymers to ants * Population dynamics: from birth and death processes to epidemics * Financial market models: the non-arbitrage principle * Contingent claim valuation models: the risk-neutral valuation theory * Risk analysis in insurance An Introduction to Continuous-Time Stochastic Processes will be of interest to a broad audience of students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. Prerequisites include knowledge of calculus and some analysis; exposure to probability would be helpful but not required since the necessary fundamentals of measure and integration are provided.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Boston : Birkhauser., 2005

Deskripsi Fisik

XIV, 344 p. 13 illus.online resource.

Bahasa

English

ISBN/ISSN

9780817644284

Klasifikasi

519

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Applied mathematics.
Engineering mathematics.
Mathematical and Computational Engineering.
Probabilities.
Probability Theory and Stochastic Processes.
Applications of Mathematics.
Biomathematics.
Mathematical and Computational Biology.
Economics, Mathematical .
Quantitative Finance.
Mathematical models.
Mathematical Modeling and Industrial Mathematics.

Info Detail Spesifik

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Pernyataan Tanggungjawab

Vincenzo Capasso, David Bakstein.

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Lampiran Berkas

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