Beschreibung
The Handbook of Stochastic Methods covers systematically and in simple language the foundations of Markov systems, stochastic differential equations, Fokker-Planck equations and stochastic master equations. Strong emphasis is placed on systematic approximation methods for solving problems. The practical orientation and broad coverage will appeal to researchers and academics working in theoretical physics, physical chemistry and mathematical finance. The inclusion of a new chapter on the numerical treatment of stochastic differential equations further enhances the value of the third edition of this classic text for practitioners. From the reviews: "Extremely well written and informative. clear, complete, and fairly rigorous treatment of a larger number of very basic concepts in stochastic theory." (Journal of Quantum Electronics) "A first class book." (Optica Acta) "Ideal for people who need a clear introduction to stochastic mathematics and their applications in physical sciences an excellent self study and reference book." (Quantnotes.com) "This wellestablished volume takes a supreme position [among the many books on the subject]. This extremely valuable contribution to the field of applied stochastic methods can be recommended to graduate students, researchers, and university teachers." (Optimization)
Inhaltsverzeichnis
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 Limited.- Beyond the White Noise Limit.- Levy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Mestability, and Escape Problems.- Simulation of Stochastic Differential Equations.- References.- Bibliography.- Author Index.- Symbol Index.- Subject Index.
Herstellerkennzeichnung:
Springer Verlag GmbH
Tiergartenstr. 17
69121 Heidelberg
DE
E-Mail: juergen.hartmann@springer.com
