An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine (Q5971064): Difference between revisions

The remarkable fact of seeing this book in its third edition tells a lot. This is indeed a very well written book on stochastic processes and their numerous applications. Here is the list of the chapters: 1. Fundamentals of Probability. 2. Stochastic Processes. 3. The Itô Integral. 4. Stochastic Differential Equations. 5. Stability, Stationarity, Ergodicity. 6. Applications to Finance and Insurance. 7. Applications to Biology and Medicine. The appendices include basic mathematical notions and results which are used in the main text. Among them are measure and integration, convergence of probability measures on metric spaces, diffusion approximation of a Langevin system, elliptic and parabolic equations, semigroups of linear operators and stability of ordinary differential equations. The book ends with a representative list of references, nomenclature and an index. The first five chapters form the theory of stochastic processes. Based on modern probability theory, the reader is introduced to the main ideas when studying classes of stochastic processes. Here are \(L_2\) processes, Gaussian processes, Markov processes, martingales, marked counting processes, white noise and Lévy processes. These are followed by an intensive presentation of stochastic intergals, Itô formula and SDEs, including the asymptotic behavior of the latter. Part two (chapters 6 and 7) deals with modern applications of stochastic processes to modeling complicated phenomena in two areas, finance and insurance, and biology and medicine. The models are studied mathematically with rigor. Thus, based on the previous material and with reasonable efforts, the reader can achieve a good level of knowledge of recent developments in these two areas. The reader will definitely benefit from the exercises given at the end of each of the chapters. Solutions are not provided, however, useful references are given to many of them. The book is strongly recommended to students following any graduate program in mathematics and mathematical modeling. University teachers can easily use this book as a possible reference book for special intermediate and advanced courses in stochastics and its applications. Editorial remark: For a review of the second edition, see Zbl 1261.60001.