An Introduction to Continuous-Time Stochastic Processes Theory, Mode
This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medici
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Advisory Editorial Board M. Avellaneda (Modeling in Economics) Courant Institute of Mathematical Sciences New York University 251 Mercer Street New York, NY 10012, USA [email protected]
H.G. Othmer (Mathematical Biology) Department of Mathematics University of Minnesota 270A Vincent Hall Minneapolis, MN 55455, USA [email protected]
K.J. Bathe (Solid Mechanics) Department of Mechanical Engineering Massachusetts Institute of Technology Cambridge, MA 02139, USA [email protected]
L. Preziosi (Industrial Mathematics) Dipartimento di Matematica Politecnico di Torino Corso Duca degli Abruzzi 24 10129 Torino, Italy [email protected]
P. Degond (Semiconductor & Transport Modeling) Mathématiques pour l'Industrie et la Physique Université P. Sabatier Toulouse 3 118 Route de Narbonne 31062 Toulouse Cedex, France [email protected] M.A. Herrero Garcia (Mathematical Methods) Departamento de Matematica Aplicada Universidad Complutense de Madrid Avenida Complutense s/n 28040 Madrid, Spain [email protected] W. Kliemann (Stochastic Modeling) Department of Mathematics Iowa State University 400 Carver Hall Ames, IA 50011, USA [email protected]
V.Protopopescu (Competitive Systems, Epidemiology) CSMD Oak Ridge National Laboratory Oak Ridge, TN 37831-6363, USA [email protected] K.R. Rajagopal (Multiphase Flows) Department of Mechanical Engineering Texas A&M University College Station, TX 77843, USA [email protected] Y. Sone (Fluid Dynamics in Engineering Sciences) Professor Emeritus Kyoto University 230-133 Iwakura-Nagatani-cho Sakyo-ku Kyoto 606-0026, Japan [email protected]
Vincenzo Capasso David Bakstein
An Introduction to Continuous-Time Stochastic Processes Theory, Models, and Applications to Finance, Biology, and Medicine
Birkh¨auser Boston • Basel • Berlin
Vincenzo Capasso MIRIAM (Milan Research Centre for Industrial and Applied Mathematics) University of Milan Department of Mathematics 20133 Milan Italy
David Bakstein MIRIAM (Milan Research Centre for Industrial and Applied Mathematics) University of Milan Department of Mathematics 20133 Milan Italy
AMS Subject Classifications: 93-xx, 93-02, 93B05, 93B07, 93B10, 93B11, 93B17, 93B25, 93B27, 93B36, 93B40, 93B51, 93B52, 93B55, 93B60, 93C05, 93C15, 93C35, 93C55, 93C70 Library of Congress Cataloging-in-Publication Data Capasso, V. (Vincenzo), 1945An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine / Vincenzo Capasso, David Bakstein. p. cm — (Modeling and simulation in science, engineering and technology) Includes bibliographical references and index. ISBN 0-8176-3234-4 (acid-free paper) 1. Stochastic processes. I. Bakstein, David, 1975- II. Title. III. Modeling and simulation in science, engineering & technology. QA274.C36 2004 519.2’3–dc22
ISBN 0-8176-3234-4
2003063634
Printed on acid-free paper.
c 2005 Birkh¨auser Boston All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publi
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