An Introduction To Continuous Time Stochastic Processes
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An Introduction To Continuous Time Stochastic Processes
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Author : Vincenzo Capasso
language : en
Publisher: Springer Nature
Release Date : 2021-06-18
An Introduction To Continuous Time Stochastic Processes written by Vincenzo Capasso and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-18 with Mathematics categories.
This textbook, now in its fourth 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, it features concrete examples of modeling real-world problems from biology, medicine, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Unlike other books on stochastic methods that specialize in a specific field of applications, this volume examines the ways in which similar stochastic methods can be applied across different fields. Beginning with the fundamentals of probability, the authors go on to introduce the theory of stochastic processes, the Itô Integral, and stochastic differential equations. The following chapters then explore stability, stationarity, and ergodicity. The second half of the book is dedicated to applications to a variety of fields, including finance, biology, and medicine. Some highlights of this fourth edition include a more rigorous introduction to Gaussian white noise, additional material on the stability of stochastic semigroups used in models of population dynamics and epidemic systems, and the expansion of methods of analysis of one-dimensional stochastic differential equations. An Introduction to Continuous-Time Stochastic Processes, Fourth Edition is intended for graduate students taking an introductory course on stochastic processes, applied probability, stochastic calculus, mathematical finance, or mathematical biology. 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. Researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering will also find this volume to be of interest, particularly the applications explored in the second half of the book.
An Introduction To Continuous Time Stochastic Processes
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Author : V. Capasso
language : en
Publisher:
Release Date : 2004
An Introduction To Continuous Time Stochastic Processes written by V. Capasso and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
An Introduction To Continuous Time Stochastic Processes
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Author : Gary Greenhouse
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2017-07-31
An Introduction To Continuous Time Stochastic Processes written by Gary Greenhouse and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-31 with categories.
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.
An Introduction To Stochastic Processes
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Author : Edward P.C. Kao
language : en
Publisher: Courier Dover Publications
Release Date : 2019-12-18
An Introduction To Stochastic Processes written by Edward P.C. Kao and has been published by Courier Dover Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-18 with Computers categories.
This incorporation of computer use into teaching and learning stochastic processes takes an applications- and computer-oriented approach rather than a mathematically rigorous approach. Solutions Manual available to instructors upon request. 1997 edition.
Continuous Time Markov Processes
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Author : Thomas Milton Liggett
language : en
Publisher: American Mathematical Soc.
Release Date : 2010
Continuous Time Markov Processes written by Thomas Milton Liggett and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.
An Introduction To Continuous Time Stochastic Processes
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Author : Jack Noah
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2017-06-07
An Introduction To Continuous Time Stochastic Processes written by Jack Noah and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-07 with categories.
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 "Bologna Scheme"), 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.
Dynamic Term Structure Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2007-05-23
Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-23 with Business & Economics categories.
Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
An Introduction To Statistical Computing
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Author : Jochen Voss
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-28
An Introduction To Statistical Computing written by Jochen Voss and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-28 with Mathematics categories.
A comprehensive introduction to sampling-based methods in statistical computing The use of computers in mathematics and statistics has opened up a wide range of techniques for studying otherwise intractable problems. Sampling-based simulation techniques are now an invaluable tool for exploring statistical models. This book gives a comprehensive introduction to the exciting area of sampling-based methods. An Introduction to Statistical Computing introduces the classical topics of random number generation and Monte Carlo methods. It also includes some advanced methods such as the reversible jump Markov chain Monte Carlo algorithm and modern methods such as approximate Bayesian computation and multilevel Monte Carlo techniques An Introduction to Statistical Computing: Fully covers the traditional topics of statistical computing. Discusses both practical aspects and the theoretical background. Includes a chapter about continuous-time models. Illustrates all methods using examples and exercises. Provides answers to the exercises (using the statistical computing environment R); the corresponding source code is available online. Includes an introduction to programming in R. This book is mostly self-contained; the only prerequisites are basic knowledge of probability up to the law of large numbers. Careful presentation and examples make this book accessible to a wide range of students and suitable for self-study or as the basis of a taught course.
Stochastic Processes
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Author : Sheldon M. Ross
language : en
Publisher: John Wiley & Sons
Release Date : 1995-02-28
Stochastic Processes written by Sheldon M. Ross and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-02-28 with Mathematics categories.
This book contains material on compound Poisson random variables including an identity which can be used to efficiently compute moments, Poisson approximations, and coverage of the mean time spent in transient states as well as examples relating to the Gibb's sampler, the Metropolis algorithm and mean cover time in star graphs.
Stationary Stochastic Models An Introduction
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Author : Riccardo Gatto
language : en
Publisher: World Scientific
Release Date : 2022-06-23
Stationary Stochastic Models An Introduction written by Riccardo Gatto and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-23 with Mathematics categories.
This volume provides a unified mathematical introduction to stationary time series models and to continuous time stationary stochastic processes. The analysis of these stationary models is carried out in time domain and in frequency domain. It begins with a practical discussion on stationarity, by which practical methods for obtaining stationary data are described. The presented topics are illustrated by numerous examples. Readers will find the following covered in a comprehensive manner:At the end, some selected topics such as stationary random fields, simulation of Gaussian stationary processes, time series for planar directions, large deviations approximations and results of information theory are presented. A detailed appendix containing complementary materials will assist the reader with many technical aspects of the book.