An Introduction to Continuous-Time Stochastic Processes (3rd Ed., Softcover reprint of the original 3rd ed. 2015) Theory, Models, and Applications to Finance, Biology, and Medicine Modeling and Simulation in Science, Engineering and Technology Series
Auteurs : Capasso Vincenzo, Bakstein David
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.
Provides a good balance between a rigorous mathematical approach and easy access to methods in applied research
Revised and expanded edition includes new exercises, updated methodologies, and a new chapter on ergodic theory
Minimal background knowledge of stochastic processes required
Includes models of real world problems
Date de parution : 10-2016
Ouvrage de 482 p.
15.5x23.5 cm