Stochastic Processes and Applications
Title | Stochastic Processes and Applications PDF eBook |
Author | Grigorios A. Pavliotis |
Publisher | Springer |
Pages | 345 |
Release | 2014-11-19 |
Genre | Mathematics |
ISBN | 1493913239 |
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Stochastic Processes in Physics and Chemistry
Title | Stochastic Processes in Physics and Chemistry PDF eBook |
Author | N.G. Van Kampen |
Publisher | Elsevier |
Pages | 482 |
Release | 1992-11-20 |
Genre | Science |
ISBN | 0080571387 |
This new edition of Van Kampen's standard work has been completely revised and updated. Three major changes have also been made. The Langevin equation receives more attention in a separate chapter in which non-Gaussian and colored noise are introduced. Another additional chapter contains old and new material on first-passage times and related subjects which lay the foundation for the chapter on unstable systems. Finally a completely new chapter has been written on the quantum mechanical foundations of noise. The references have also been expanded and updated.
Basic Stochastic Processes
Title | Basic Stochastic Processes PDF eBook |
Author | Zdzislaw Brzezniak |
Publisher | Springer Science & Business Media |
Pages | 244 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1447105338 |
Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for self-study provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.
Stochastic Processes for Physicists
Title | Stochastic Processes for Physicists PDF eBook |
Author | Kurt Jacobs |
Publisher | Cambridge University Press |
Pages | 203 |
Release | 2010-02-18 |
Genre | Science |
ISBN | 1139486799 |
Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.
Basics of Applied Stochastic Processes
Title | Basics of Applied Stochastic Processes PDF eBook |
Author | Richard Serfozo |
Publisher | Springer Science & Business Media |
Pages | 452 |
Release | 2009-01-24 |
Genre | Mathematics |
ISBN | 3540893326 |
Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.
Introduction to Stochastic Processes
Title | Introduction to Stochastic Processes PDF eBook |
Author | Erhan Cinlar |
Publisher | Courier Corporation |
Pages | 418 |
Release | 2013-02-20 |
Genre | Mathematics |
ISBN | 0486276325 |
Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.
An Introduction to Probability and Stochastic Processes
Title | An Introduction to Probability and Stochastic Processes PDF eBook |
Author | James L. Melsa |
Publisher | Courier Corporation |
Pages | 420 |
Release | 2013-01-01 |
Genre | Mathematics |
ISBN | 0486490998 |
Detailed coverage of probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.