An Introduction to continuous-time stochastic processes : Theory, models, and applications to finance, biology, and medicine
- Author
- Vincenzo Capasso, David Bakstein
- Publication Year
- 2005
- Publisher
- Springer
- Language
- English
- Document Type
- Book
- Faculty / Subject Heading
- Mathematics and Statistics
- Download Book Read book
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
Keywords: Mathematics and Statistics / Measure / Continuous-time stochastic process / Linear optimization / Model / Modeling / Operator / Stability / Stochastic process
