An introduction to continuous-time stochastic processes: theory, models, and applications to finance, biology, and medicine

Vincenzo Capasso, David Bakstein0817632344, 9780817632342

Here is an 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 engineering, biomathematics, industrial mathematics, and finance using stochastic methods.  Key topics include:

• Interacting particles, from polymers to ants

• Population dynamics: birth and death processes

• Financial market models: the non-arbitrage principle

• Option pricing: the risk-neutral valuation theory

An Introduction to Continuous-Time Stochastic Processes will be of interest to a broad audience of students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, biotechnology, and engineering.  Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference.

---

Table of contents :
front-matter……Page 1
front-mattera……Page 12
01Fundamentals of Probability……Page 13
02Stochastic Processes……Page 61
03The Itô Integral……Page 137
04Stochastic Differential Equations……Page 170
front-matterb……Page 218
05Applications to Finance and Insurance……Page 219
06Applications to Biology and Medicine……Page 247
back-matter……Page 288