The Resource An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine, Vincenzo Capasso, David Bakstein

An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine, Vincenzo Capasso, David Bakstein

Label
An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine
Title
An introduction to continuous-time stochastic processes
Title remainder
theory, models, and applications to finance, biology, and medicine
Statement of responsibility
Vincenzo Capasso, David Bakstein
Creator
Contributor
Author
Subject
Language
eng
Summary
This textbook, now in its third 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, 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 include: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agent-based models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * Karhunen-Loeve expansion * Additional applications * Additional exercises * Smoluchowski approximation of Langevin systems An Introduction to Continuous-Time Stochastic Processes, Third Edition will be of interest to a broad audience of students, pure and applied mathematicians, and researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or undergraduate courses, as well as European Masters courses (according to the two-year-long second cycle of the 2Bologna Scheme3), the work may also be used for self-study or as a reference. 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. From reviews of previous editions: "The book is ... an account of fundamental concepts as they appear in relevant modern applications and literature. ... The book addresses three main groups: first, mathematicians working in a different field; second, other scientists and professionals from a business or academic background; third, graduate or advanced undergraduate students of a quantitative subject related to stochastic theory and/or applications."--Zentralblatt MATH
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1945-
http://library.link/vocab/creatorName
Capasso, Vincenzo
Illustrations
illustrations
Index
index present
LC call number
QA274
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1975-
http://library.link/vocab/relatedWorkOrContributorName
Bakstein, David
Series statement
Modeling and simulation in science, engineering and technology,
http://library.link/vocab/subjectName
  • Stochastic processes
  • Stochastic processes
Label
An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine, Vincenzo Capasso, David Bakstein
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-1-4939-2757-9
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- Stability, Stationary, Ergodicity -- Part II: Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine -- Measure and Integration -- Convergence of Probability Measures on Metric Spaces -- Appendices
Dimensions
unknown
Edition
Third edition.
Extent
1 online resource (xvi, 482 pages)
File format
unknown
Form of item
online
Isbn
9781493927579
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
SpringerLink
Other control number
10.1007/978-1-4939-2757-9
Other physical details
illustrations.
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)910878836
  • (OCoLC)ocn910878836
Label
An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine, Vincenzo Capasso, David Bakstein
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-1-4939-2757-9
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- Stability, Stationary, Ergodicity -- Part II: Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine -- Measure and Integration -- Convergence of Probability Measures on Metric Spaces -- Appendices
Dimensions
unknown
Edition
Third edition.
Extent
1 online resource (xvi, 482 pages)
File format
unknown
Form of item
online
Isbn
9781493927579
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
SpringerLink
Other control number
10.1007/978-1-4939-2757-9
Other physical details
illustrations.
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)910878836
  • (OCoLC)ocn910878836

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