An Introduction to Continuous-Time Stochastic Processes
Publication year: 2005
: 978-0-8176-4428-4
This book is 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
: Mathematics and Statistics, Measure, continuous-time stochastic process, linear optimization, model, modeling, operator, stability, stochastic process
