By Vincenzo Capasso,David Bakstein
ISBN-10: 1493927566
ISBN-13: 9781493927562
Key themes include:
Markov processes
Stochastic differential equations
Arbitrage-free markets and monetary derivatives
Insurance risk
Population dynamics, and epidemics
Agent-based models
New to the 3rd Edition:
Infinitely divisible distributions
Random measures
Levy processes
Fractional Brownian motion
Ergodic theory
Karhunen-Loeve expansion
Additional applications
Additional exercises
Smoluchowski approximation of Langevin systems
An advent to Continuous-Time Stochastic techniques, 3rd version should be of curiosity to a huge viewers of scholars, natural and utilized mathematicians, and researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering. compatible as a textbook for graduate or undergraduate classes, in addition to ecu Masters classes (according to the two-year-long moment cycle of the “Bologna Scheme”), the paintings can also be used for self-study or as a reference. necessities comprise wisdom of calculus and a few research; publicity to chance will be useful yet now not required because the useful basics of degree and integration are provided.
From experiences of prior editions:
"The e-book is ... an account of basic strategies as they seem in proper sleek functions and literature. ... The booklet addresses 3 major teams: first, mathematicians operating in a unique box; moment, different scientists and execs from a company or educational history; 3rd, graduate or complex undergraduate scholars of a quantitative topic regarding stochastic idea and/or applications." -Zentralblatt MATH
Read Online or Download An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine (Modeling and Simulation in Science, Engineering and Technology) PDF
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Extra resources for An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine (Modeling and Simulation in Science, Engineering and Technology)
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An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine (Modeling and Simulation in Science, Engineering and Technology) by Vincenzo Capasso,David Bakstein
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