An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine
Fourth Edition 2021
Book Details
Format
Paperback / Softback
ISBN-10
3030696553
ISBN-13
9783030696559
Edition
Fourth Edition 2021
Publisher
Springer Nature Switzerland AG
Imprint
Springer Nature Switzerland AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jun 20th, 2022
Print length
560 Pages
Weight
884 grams
Dimensions
15.70 x 23.60 x 3.30 cms
Ksh 9,000.00
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This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations.
This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, it features concrete examples of modeling real-world problems from biology, medicine, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Unlike other books on stochastic methods that specialize in a specific field of applications, this volume examines the ways in which similar stochastic methods can be applied across di?erent ?elds.
Beginning with the fundamentals of probability, the authors go on to introduce the theory of stochastic processes, the Itô Integral, and stochastic differential equations. The following chapters then explore stability, stationarity, and ergodicity. The second half of the book is dedicated to applications to a variety of fields, including finance, biology, and medicine. Some highlights of this fourth edition include a more rigorous introduction to Gaussian white noise, additional material on the stability of stochastic semigroups used in models of population dynamics and epidemic systems, and the expansion of methods of analysis of one-dimensional stochastic di?erential equations.
An Introduction to Continuous-Time Stochastic Processes, Fourth Edition is intended for graduate students taking an introductory course on stochastic processes, applied probability, stochastic calculus, mathematical finance, or mathematical biology. 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. Researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering will also find this volume to be of interest, particularly the applications explored in the second half of the book.
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