Ebook: An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine

Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, 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.

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Diffusion and growth phenomena abound in the real world surrounding us. Some examples: growth of the world's population, growth rates of humans, public interest in news events, growth and decline of central city populations, pollution of rivers, adoption of agricultural innovations, and spreading of epidemics and migration of insects. These and numerous other phenomena are illustrations of typical growth and diffusion problems confronted in many branches of the physical, biological and social sciences as well as in various areas of agriculture, business, education, engineering medicine and public health. The book presents a large number of mathematical models to provide frameworks for the analysis and display of many of these. The models developed and utilized commence with relatively simple exponential, logistic and normal distribution functions. Considerable attention is given to time dependent growth coefficients and carrying capacities. The topics of discrete and distributed time delays, spatial-temporal diffusion and diffusion with reaction are examined. Throughout the book there are a great many numerical examples. In addition and most importantly, there are more than 50 in-depth "illustrations" of the application of a particular framework or model based on real world problems. These examples provide the reader with an appreciation of the intrinsic nature of the phenomena involved. They address mainly readers from the physical, biological, and social sciences, as the only mathematical background assumed is elementary calculus. Methods are developed as required, and the reader can thus acquire useful tools for planning, analyzing, designing, and evaluating studies of growth transfer and diffusion phenomena. The book draws on the author's own hands-on experience in problems of environmental diffusion and dispersion, as well as in technology transfer and innovation diffusion Part 1. The Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- Part 2. Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine