Modeling and Simulation in Science, Engineering and Technology

An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine

Authors: Capasso, Vincenzo, Bakstein, David

  • 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
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Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-0-8176-8346-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this Textbook

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)

Table of contents (6 chapters)

  • Fundamentals of Probability

    Capasso, Vincenzo (et al.)

    Pages 3-76

  • Stochastic Processes

    Capasso, Vincenzo (et al.)

    Pages 77-171

  • The Itô Integral

    Capasso, Vincenzo (et al.)

    Pages 173-212

  • Stochastic Differential Equations

    Capasso, Vincenzo (et al.)

    Pages 213-273

  • Applications to Finance and Insurance

    Capasso, Vincenzo (et al.)

    Pages 277-310

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-0-8176-8346-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
An Introduction to Continuous-Time Stochastic Processes
Book Subtitle
Theory, Models, and Applications to Finance, Biology, and Medicine
Authors
Series Title
Modeling and Simulation in Science, Engineering and Technology
Copyright
2012
Publisher
Birkhäuser Basel
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-0-8176-8346-7
DOI
10.1007/978-0-8176-8346-7
Series ISSN
2164-3679
Edition Number
2
Number of Pages
XIII, 434
Number of Illustrations and Tables
14 b/w illustrations
Topics