IDEAS home Printed from https://ideas.repec.org/h/spr/spbchp/978-3-031-11814-2_6.html
   My bibliography  Save this book chapter

An Invitation to Stochastic Differential Equations in Healthcare

In: Quantitative Models in Life Science Business

Author

Listed:
  • Dimitri Breda

    (University of Udine)

  • Jung Kyu Canci

    (Lucerne University of Applied Sciences and Arts)

  • Raffaele D’Ambrosio

    (University of L’Aquila)

Abstract

An important problem in finance is the evaluation of the value in the future of assets (e.g., shares in company, currencies, derivatives, patents). The change of the values can be modeled with differential equations. Roughly speaking, a typical differential equation in finance has two components, one deterministic (e.g., rate of interest of bank accounts) and one stochastic (e.g., values of stocks) that is often related to the notion of Brownian motions. The solution of such a differential equation needs the evaluation of Riemann–Stieltjes’s integrals for the deterministic part and Ito’s integrals for the stochastic part. For A few types of such differential equations, it is possible to determine an exact solution, e.g., a geometric Brownian motion. On the other side for almost all stochastic differential equations we can only provide approximations of a solution. We present some numerical methods for solving stochastic differential equations.

Suggested Citation

  • Dimitri Breda & Jung Kyu Canci & Raffaele D’Ambrosio, 2023. "An Invitation to Stochastic Differential Equations in Healthcare," SpringerBriefs in Economics, in: Jung Kyu Canci & Philipp Mekler & Gang Mu (ed.), Quantitative Models in Life Science Business, pages 97-110, Springer.
    • Handle: RePEc:spr:spbchp:978-3-031-11814-2_6
    DOI: 10.1007/978-3-031-11814-2_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:spbchp:978-3-031-11814-2_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.