Authors:
- Expanded and revised to include more thorough introduction and enhanced coverage of financial modling applications, among other things
- Fully updated references reflect latest research in the field
- Concise, yet rigorous presentation covers a broad range of applications
- Valuable for students, researchers, and practitioners
- Minimal background knowledge required
- Includes supplementary material: sn.pub/extras
- Includes supplementary material: sn.pub/extras
Part of the book series: Modeling and Simulation in Science, Engineering and Technology (MSSET)
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Table of contents (6 chapters)
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Front Matter
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Theory of Stochastic Processes
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Front Matter
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The Theory of Stochastic Processes
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Applications of Stochastic Processes
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Front Matter
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The Applications of Stochastic Processes
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Back Matter
About this book
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.
Reviews
From the reviews of the second edition:
“The book is useful both for undergraduate and graduate students in stochastics, finances and biology and for all persons who is interested in stochastic calculus and its applications.” (Yuliya S. Mishura, Zentralblatt MATH, Vol. 1261, 2013)Authors and Affiliations
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Dipartimento di Matematica, Università degli Studi di Milano, Milano, Italy
Vincenzo Capasso
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ADAMSS (Interdisciplinary Centre for Advanced Applied Mathematical and Statistical Sciences), University of Milan, Milan, Italy
David Bakstein
Bibliographic Information
Book Title: An Introduction to Continuous-Time Stochastic Processes
Book Subtitle: Theory, Models, and Applications to Finance, Biology, and Medicine
Authors: Vincenzo Capasso, David Bakstein
Series Title: Modeling and Simulation in Science, Engineering and Technology
DOI: https://doi.org/10.1007/978-0-8176-8346-7
Publisher: Birkhäuser Boston, MA
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media New York 2012
eBook ISBN: 978-0-8176-8346-7Published: 27 July 2012
Series ISSN: 2164-3679
Series E-ISSN: 2164-3725
Edition Number: 2
Number of Pages: XIII, 434
Number of Illustrations: 14 b/w illustrations
Topics: Probability Theory and Stochastic Processes, Mathematical Modeling and Industrial Mathematics, Quantitative Finance, Mathematical and Computational Biology, Applications of Mathematics, Mathematical and Computational Engineering