An introduction to continuous-time stochastic processes: theory, models, and applications to finance, biology, and medicine
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
New York, NY [u.a.]
Birkhäuser Springer
2015
|
| Edition: | 3. ed. |
| Series: | Modeling and simulation in science, engineering and technology
|
| Subjects: | |
| Online Access: | BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Physical Description: | 1 Online-Ressource (XVI, 482 S.) 14 illus |
| ISBN: | 9781493927579 |
| ISSN: | 2164-3679 |
| DOI: | 10.1007/978-1-4939-2757-9 |
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Record in the Search Index
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| adam_text | AN INTRODUCTION TO CONTINUOUS-TIME STOCHASTIC PROCESSES
/ CAPASSO, VINCENZO
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PART I: THEORY OF STOCHASTIC PROCESSES
FUNDAMENTALS OF PROBABILITY
STOCHASTIC PROCESSES
THE ITO 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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
AN INTRODUCTION TO CONTINUOUS-TIME STOCHASTIC PROCESSES
/ CAPASSO, VINCENZO
: 2015
ABSTRACT / INHALTSTEXT
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 REAL-WORLD PROBLEMS FROM BIOLOGY, MEDICINE,
INDUSTRIAL APPLICATIONS, FINANCE, AND INSURANCE USING STOCHASTIC
METHODS. NO PREVIOUS KNOWLEDGE OF STOCHASTIC PROCESSES IS REQUIRED.KEY
TOPICS INCLUDE: * MARKOV PROCESSES * STOCHASTIC DIFFERENTIAL EQUATIONS *
ARBITRAGE-FREE MARKETS AND FINANCIAL DERIVATIVES * INSURANCE RISK *
POPULATION DYNAMICS, ANDEPIDEMICS * AGENT-BASED MODELS NEW TO THE
THIRD EDITION: * INFINITELY DIVISIBLE DISTRIBUTIONS * RANDOM MEASURES *
LEVY PROCESSES * FRACTIONAL BROWNIAN MOTION * ERGODIC THEORY *
KARHUNEN-LOEVE EXPANSION *ADDITIONAL APPLICATIONS * ADDITIONAL
EXERCISES *SMOLUCHOWSKI APPROXIMATION OF LANGEVIN SYSTEMS AN
INTRODUCTION TO CONTINUOUS-TIME STOCHASTIC PROCESSES, THIRD EDITION WILL
BE OF INTEREST TO A BROAD AUDIENCE OF STUDENTS, PURE AND APPLIED
MATHEMATICIANS, AND RESEARCHERS AND PRACTITIONERS IN MATHEMATICAL
FINANCE, BIOMATHEMATICS, BIOTECHNOLOGY, AND ENGINEERING. SUITABLE AS A
TEXTBOOK FOR GRADUATE OR UNDERGRADUATE COURSES, AS WELL AS EUROPEAN
MASTERS COURSES (ACCORDING TO THE TWO-YEAR-LONG SECOND CYCLE OF THE
“BOLOGNA SCHEME”), 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. FROM
REVIEWS OF PREVIOUS EDITIONS: THE BOOK IS ... AN ACCOUNT OF FUNDAMENTAL
CONCEPTS AS THEY APPEAR IN RELEVANT MODERN APPLICATIONS AND LITERATURE.
... THE BOOK ADDRESSES THREE MAIN GROUPS: FIRST, MATHEMATICIANS WORKING
IN A DIFFERENT FIELD; SECOND, OTHER SCIENTISTS AND PROFESSIONALS FROM A
BUSINESS OR ACADEMIC BACKGROUND; THIRD, GRADUATE OR ADVANCED
UNDERGRADUATE STUDENTS OF A QUANTITATIVE SUBJECT RELATED TO STOCHASTIC
THEORY AND/OR APPLICATIONS. —ZENTRALBLATT MATH.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| isbn | 9781493927579 |
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| spelling | Capasso, Vincenzo 1945- Verfasser (DE-588)110728556 aut An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine Vincenzo Capasso ; David Bakstein 3. ed. New York, NY [u.a.] Birkhäuser Springer 2015 1 Online-Ressource (XVI, 482 S.) 14 illus txt rdacontent c rdamedia cr rdacarrier Modeling and simulation in science, engineering and technology 2164-3679 Mathematics Finance Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Mathematical Modeling and Industrial Mathematics Quantitative Finance Mathematical and Computational Biology Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s DE-604 Bakstein, David 1975- Verfasser (DE-588)130408662 aut Erscheint auch als Druckausgabe 978-1-4939-2756-2 https://doi.org/10.1007/978-1-4939-2757-9 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028025268&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028025268&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Capasso, Vincenzo 1945- Bakstein, David 1975- An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine Mathematics Finance Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Mathematical Modeling and Industrial Mathematics Quantitative Finance Mathematical and Computational Biology Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4057630-9 |
| title | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine |
| title_auth | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine |
| title_exact_search | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine |
| title_full | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine Vincenzo Capasso ; David Bakstein |
| title_fullStr | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine Vincenzo Capasso ; David Bakstein |
| title_full_unstemmed | An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine Vincenzo Capasso ; David Bakstein |
| title_short | An introduction to continuous-time stochastic processes |
| title_sort | an introduction to continuous time stochastic processes theory models and applications to finance biology and medicine |
| title_sub | theory, models, and applications to finance, biology, and medicine |
| topic | Mathematics Finance Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Mathematical Modeling and Industrial Mathematics Quantitative Finance Mathematical and Computational Biology Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Mathematical Modeling and Industrial Mathematics Quantitative Finance Mathematical and Computational Biology Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastischer Prozess |
| url | https://doi.org/10.1007/978-1-4939-2757-9 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028025268&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028025268&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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