Coverart for item
The Resource An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)

An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)

Label
An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine
Title
An Introduction to Continuous-Time Stochastic Processes
Title remainder
Theory, Models, and Applications to Finance, Biology, and Medicine
Statement of responsibility
by Vincenzo Capasso, David Bakstein
Creator
Contributor
Author
Subject
Language
eng
Summary
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, and epidemics * 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 zBologna Schemey), 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
Member of
http://library.link/vocab/creatorName
Capasso, Vincenzo
Image bit depth
0
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Bakstein, David.
  • SpringerLink (Online service)
Series statement
Modeling and Simulation in Science, Engineering and Technology,
http://library.link/vocab/subjectName
  • Mathematics
  • Economics, Mathematical
  • Mathematical models
  • Probabilities
  • Biomathematics
  • Applied mathematics
  • Engineering mathematics
Label
An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-1-4939-2757-9
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
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
Control code
978-1-4939-2757-9
Dimensions
unknown
Edition
3rd ed. 2015.
Extent
XVI, 482 p. 14 illus.
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493927579
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-1-4939-2757-9
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1022040807
Label
An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-1-4939-2757-9
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
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
Control code
978-1-4939-2757-9
Dimensions
unknown
Edition
3rd ed. 2015.
Extent
XVI, 482 p. 14 illus.
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493927579
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-1-4939-2757-9
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1022040807

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