An Introduction to Continuous-Time Stochastic Processes

From reviews of 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 concisely written second edition of An Introduction to Continuous-Time Stochastic Processes is a rigorous and self-contained introduction tothe 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
Agent-based models
New to the Second Edition:
Improved presentation of original concepts
Expanded background on probability theory
Substantial material applicable to finance and biology, including stable laws, Lévy processes, and Itô-Lévy calculus Supplemental appendix to provide basic facts on semigroups of linear operators
An Introduction to Continuous-Time Stochastic Processes, Second Edition will be of interest to a broad audience of students,