An Introduction to Continuous Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine

Vincenzo Capasso, David Bakstein9780817632342, 0-8176-3234-4

“This book 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 biology, medicine, finance, and insurance using stochastic methods. 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, physics, 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.

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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