Stochastic methods : a handbook for the natural and social sciences

Bibliographic Information

Stochastic methods : a handbook for the natural and social sciences

Crispin Gardiner

(Springer series in synergetics)(Springer complexity)

Springer, c2009

4th ed

  • : hard
  • : softcover

Available at  / 48 libraries

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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In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.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.

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Details

  • NCID
    BA89698753
  • ISBN
    • 9783540707127
    • 9783642089626
  • LCCN
    2008936877
  • Country Code
    gw
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Heidelberg
  • Pages/Volumes
    xvii, 447 p.
  • Size
    24 cm
  • Classification
  • Subject Headings
  • Parent Bibliography ID
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