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.
Table of Content
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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