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An Introduction to Continuous-Time Stochastic Processes

Theory, Models, and Applications to Finance, Biology, and Medicine

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Focusing on continuous-time stochastic processes, this textbook provides a comprehensive introduction to stochastic integrals and differential equations. It effectively merges theory with practical applications across various fields, including biology, finance, and engineering. The third edition introduces new topics such as infinitely divisible distributions and fractional Brownian motion, along with additional exercises. Designed for both students and professionals, it serves as a valuable resource for courses and self-study, requiring only a basic understanding of calculus and analysis.

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An Introduction to Continuous-Time Stochastic Processes, David Bakstein, Vincenzo Capasso

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2016
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