Stochastic Methods: A Handbook for the Natural and Social Sciences

A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker-Planck Equation.- The Fokker-Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limit.- Beyond the White Noise Limit.- Lévy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Stochastic Differential Equations.

Author: Crispin Gardiner
Publisher: Springer
Published: 10/19/2010
Pages: 447
Binding Type: Paperback
Weight: 1.43lbs
Size: 9.21h x 6.14w x 0.94d
ISBN13: 9783642089626
ISBN10: 3642089623
BISAC Categories:
- Mathematics | Probability & Statistics | General
- Mathematics | Applied
- Science | Physics | Optics & Light

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