Ebook: An introduction to continuous-time stochastic processes: theory, models, and applications to finance, biology, and medicine
Author: Vincenzo Capasso David Bakstein
- Genre: Mathematics // Probability
- Series: Modeling and simulation in science engineering and technology
- Year: 2005
- Publisher: Birkhäuser
- City: Boston
- Edition: 1
- Language: English
- pdf
Here is an 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 engineering, biomathematics, industrial mathematics, and finance using stochastic methods. Key topics include:
• Interacting particles, from polymers to ants
• Population dynamics: birth and death processes
• Financial market models: the non-arbitrage principle
• Option pricing: the risk-neutral valuation theory
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.