An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine /
By: Capasso, Vincenzo [author.].
Contributor(s): Bakstein, David [author.2 ] | SpringerLink (Online service)0.
Material type:
BookSeries: Modeling and Simulation in Science, Engineering and Technology0.Publisher: Boston, MA : Birkh�user Boston, 2005. Description: XIV, 344 p. 13 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9780817644284.Subject(s): Mathematics. 0 | Applied mathematics. 0 | Engineering mathematics. 0 | Economics, Mathematical. 0 | Mathematical models. 0 | Probabilities. 0 | Biomathematics.14 | Mathematics.24 | Applications of Mathematics.24 | Probability Theory and Stochastic Processes.24 | Mathematical Modeling and Industrial Mathematics.24 | Mathematical and Computational Biology.24 | Quantitative Finance.24 | Appl.Mathematics/Computational Methods of Engineering.1DDC classification: 519 Online resources: Click here to access online | Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
| PK Kelkar Library, IIT Kanpur | Available | EBK6334 |
The Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The It� 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. 0
There are no comments for this item.