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An introduction to continuous-time stochastic processes (Record no. 14808)

000 -Label
leader 02759 2200265 4500
010 ## - ISBN
ISBN 9780817644284
090 ## - Numéro biblio (koha)
Numéro biblioitem (koha) 14808
001 - Numéro de notice
Numéro d'identification notice 14808
101 ## - Langue
langue du document anglais
200 ## - Titre
titre propre An introduction to continuous-time stochastic processes
type de document Livre numérique
complément du titre theory, models, and applications to finance, biology, and medicine
Auteur Vincenzo Capasso, David Bakstein
210 ## - Editeur
lieu de publication Boston
nom de l'éditeur Birkhäuser
date de publication 2005
225 ## - collection
lien interne koha 170472
titre de la collection Modeling and simulation in science, engineering and technology
ISSN de la collection 2164-3679
300 ## - Note
note 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. It then introduces the Itô integral and Itô formula, and develops the basic theory of stochastic differential equations, inclusive of Lyapunov-type stability criteria. Proofs that are very technical are omitted.
The second part of the book deals with applications. The chapter on finance and insurance covers option pricing, interest rate models and insurance risk. The chapter on biology and medicine considers a variety of models of population dynamics and an application to neurosciences.
Four appendices cover the background from analysis required in the book, viz., measure and integration, probability measures on metric spaces, elliptic and parabolic p.d.e.'s, and stability theory for ordinary differential equations.
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. (MathScinet)
686 ## - Classification MSC
code du système msc
lien interne koha 165438
Indice 60-01
Libellé Probability theory and stochastic processes
Sous-catégorie Instructional exposition (textbooks, tutorial papers, etc.)
686 ## - Classification MSC
code du système msc
lien interne koha 165477
Indice 60Gxx
Libellé Probability theory and stochastic processes
Sous-catégorie Stochastic processes
686 ## - Classification MSC
code du système msc
lien interne koha 165505
Indice 60H05
Libellé Probability theory and stochastic processes -- Stochastic analysis
Sous-catégorie Stochastic integrals
686 ## - Classification MSC
code du système msc
lien interne koha 165507
Indice 60H10
Libellé Probability theory and stochastic processes -- Stochastic analysis
Sous-catégorie Stochastic ordinary differential equations
686 ## - Classification MSC
code du système msc
lien interne koha 165511
Indice 60H30
Libellé Probability theory and stochastic processes -- Stochastic analysis
Sous-catégorie Applications of stochastic analysis (to PDE, etc.)
700 ## - Auteur
code de fonction Auteur
koha internal code 169913
auteur Capasso
partie du nom autre que l'élément d'entrée Vincenzo
dates 1945-
701 ## - coauteur
code de fonction Auteur
nom Bakstein
prénom David
dates 1975-
koha internal code 181300
856 ## - accès
URI http://link.springer.com/book/10.1007/b138900
note Springerlink
856 ## - accès
URI https://zbmath.org/?q=an:1078.60001
note Zentralblatt
856 ## - accès
URI http://www.ams.org/mathscinet-getitem?mr=2102925
note MathSciNet

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