The Resource An Introduction to ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
An Introduction to ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
Resource Information
The item An Introduction to ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item An Introduction to ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 Summary
 This textbook, now in its third edition, offers a rigorous and selfcontained introduction to the theory of continuoustime stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling realworld 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 * Arbitragefree markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agentbased models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * KarhunenLoeve expansion * Additional applications * Additional exercises * Smoluchowski approximation of Langevin systems An Introduction to ContinuousTime 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 twoyearlong second cycle of the zBologna Schemey), the work may also be used for selfstudy 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
 Language
 eng
 Edition
 3rd ed. 2015.
 Extent
 XVI, 482 p. 14 illus.
 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
 Isbn
 9781493927579
 Label
 An Introduction to ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine
 Title
 An Introduction to ContinuousTime Stochastic Processes
 Title remainder
 Theory, Models, and Applications to Finance, Biology, and Medicine
 Statement of responsibility
 by Vincenzo Capasso, David Bakstein
 Language
 eng
 Summary
 This textbook, now in its third edition, offers a rigorous and selfcontained introduction to the theory of continuoustime stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling realworld 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 * Arbitragefree markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agentbased models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * KarhunenLoeve expansion * Additional applications * Additional exercises * Smoluchowski approximation of Langevin systems An Introduction to ContinuousTime 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 twoyearlong second cycle of the zBologna Schemey), the work may also be used for selfstudy 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
 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 ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
 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
 9781493927579
 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, noncommercial 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
 10.1007/9781493927579
 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 ContinuousTime Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine, by Vincenzo Capasso, David Bakstein, (electronic resource)
 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
 9781493927579
 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, noncommercial 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
 10.1007/9781493927579
 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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