Stochastic Processes and Applications

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Sprache: Englisch

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Beschreibung

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 toequilibrium 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.

Über den Autor

Dr. Grigorios A. Pavliotis is a professor in Applied Mathematics at the Imperial College in London. Dr. Pavliotis's research interests include analysis, numerical, and statistical inference for multiscale stochastic systems, non-equilibrium statistical mechanics, and homogenization theory for PDEs and SDEs.

Zusammenfassung

One of the first textbooks addressing modern stochastic methods which is addressed for the applied mathematician, scientist and engineer

Includes many exercises and references/links to current research topics covered in the books

Class tested for many years in the UK and in Germany

Several techniques for studying stochastic processes in continuous time are presented

Inhaltsverzeichnis

Stochastic Processes.- Diffusion Processes.- Introduction to Stochastic Differential Equations.- The Fokker-Planck Equation.- Modelling with Stochastic Differential Equations.- The Langevin Equation.- Exit Problems for Diffusions.- Derivation of the Langevin Equation.- Linear Response Theory.- Appendix A Frequently Used Notations.- Appendix B Elements of Probability Theory.

Erscheinungsjahr:	2016
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Inhalt:	xiii 339 S. 6 s/w Illustr. 23 farbige Illustr. 339 p. 29 illus. 23 illus. in color.
ISBN-13:	9781493954797
ISBN-10:	1493954792
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Pavliotis, Grigorios A.
Auflage:	Softcover reprint of the original 1st edition 2014
Hersteller:	Springer US Springer New York
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 20 mm
Von/Mit:	Grigorios A. Pavliotis
Erscheinungsdatum:	23.08.2016
Gewicht:	0,54 kg

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