Stochastic methods : a handbook for the natural and social sciences
Author(s)
Bibliographic Information
Stochastic methods : a handbook for the natural and social sciences
（Springer series in synergetics）（Springer complexity）
Springer, c2009
4th ed
- : hard
- : softcover
Available at 48 libraries
Note
Includes bibliographical references (p. [421]-433) and indexes
Description and Table of Contents
Description
In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.
Table of Contents
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.- Levy 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.
by "Nielsen BookData"