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An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine

  • Vincenzo Capasso
  • David Bakstein

Table of contents

  1. Front Matter
    Pages i-xi
  2. The Theory of Stochastic Processes

    1. Front Matter
      Pages 1-1
    2. Pages 51-126
    3. Pages 127-159
  3. The Applications of Stochastic Processes

    1. Front Matter
      Pages 209-209
  4. Back Matter
    Pages 281-343

About this book

Introduction

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.

Key topics covered include:

* Interacting particles and agent-based models: from polymers to ants

* Population dynamics: from birth and death processes to epidemics

* Financial market models: the non-arbitrage principle

* Contingent claim valuation models: the risk-neutral valuation theory

* Risk analysis in insurance

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. Prerequisites include knowledge of calculus and some analysis; exposure to probability would be helpful but not required since the necessary fundamentals of measure and integration are provided.

Keywords

Measure continuous-time stochastic process linear optimization model modeling operator stability stochastic process

Authors and affiliations

  • Vincenzo Capasso
    • 1
  • David Bakstein
    • 1
  1. 1.Department of MathematicsMIRIAM (Milan Research Centre for Industrial and Applied Mathematics), University of MilanMilanItaly

Bibliographic information

  • DOI https://doi.org/10.1007/b138900
  • Copyright Information Birkhäuser Boston 2005
  • Publisher Name Birkhäuser Boston
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-0-8176-3234-2
  • Online ISBN 978-0-8176-4428-4
  • Series Print ISSN 2164-3679
  • Series Online ISSN 2164-3725
  • Buy this book on publisher's site
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