Sistema Bibliotecario de la Universidad de Quintana Roo

Part I. The Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itȳ 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.

From reviewsof First Edition: 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 This is an introductory text on continuous time stochastic processes and their applications to finance and biology. ... 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. Mathematical Reviews Revised and enhanced, this conciselywritten second edition of An Introduction to Continuous-Time Stochastic Processes is a rigorousand self-contained introduction to the theoryof continuous-time stochastic processes, stochastic integrals,and stochastic differentialequations. 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 topicsinclude: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics * Agent-based models New to the Second Edition: * Improved presentation of original concepts * Expanded background on probability theory * Substantial material applicable tofinance and biology, including stable laws, LȨvy processes, and Itȳ-LȨvy calculus *Supplemental appendix to providebasic facts on semigroups of linear operators An Introduction to Continuous-Time Stochastic Processes, Second Editionwill be of interest to a broad audience of students, pure and applied mathematicians, and researchersand practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or undergraduatecourses, as well asEuropean Masters courses (according tothe two-year-long second cycle of the ǣBologna Schemeǥ),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.

ZDB-2-SMA