This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.
“This is an introductory text on continuous time stochastic processes and their applications to finance and biology. The first part of the book reviews basic probability and then covers the basic continuous time processes such as Brownian motion, point processes, etc…. The book will be useful for applied mathematicians who are not probabilists to get a quick flavour of the techniques of stochastic calculus, and for professional probabilists to get a quick flavour of the applications.” —Mathematical Reviews “The book is a systematic, rigorous, and self-contained introduction to the theory of continuous-time stochastic processes. It is an account of fundamental concepts as they appear in relevant modern applications and literature….
- Author(s): Vincenzo Capasso, David Bakstein
- Number of pages : 354 pages
- ISBN-10 : 0817632344
- ISBN-13 : 978-0817632342
- Publisher : Birkhäuser Boston; 1st Edition (December 7, 2004)
- Language: : English
See more: Dynamics of stochastic systems