An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine
著者
書誌事項
An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine
（Modeling and simulation in science, engineering & technology）
Birkhäuser , Springer, c2012
2nd ed
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注記
Includes bibliographical references (p. 411-419) and index
内容説明・目次
内容説明
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.
目次
Part I. The Theory of Stochastic Processes.- Fundamentals of Probability.- Stochastic Processes.- The Ito Integral.- Stochastic Differential Equations.- Part II. The Applications of Stochastic Processes.- Applications to Finance and Insurance.- Applications to Biology and Medicine.- Part III. Appendices.- Measure and Integration.- Convergence of Probability Measures on Metric Spaces.- Elliptic and Parabolic Operators.- D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations.- References.
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