Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, 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.
Spis treści
Part I. The Theory of Stochastic Processes.- Fundamentals of Probability.- Stochastic Processes.- The Itô Integral.- Stochastic Differential Equations.- Part II. The Applications of Stochastic Processes.- Applications to Finance and Insurance.- Applications to Biology and Medicine.- Part III. Appendices.- Measure and Integration.- Convergence of Probability Measures on Metric Spaces.- Elliptic and Parabolic Operators.- D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations.- References.
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