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Stochastic Methods: A Handbook for the Natural and Social Sciences

by Stochastic Methods: A Handbook for the Natural and Social Sciences

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Description

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.- Lévy 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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Product Details

  • Springer Brand
  • Oct 19, 2010 Pub Date:
  • 3642089623 ISBN-10:
  • 9783642089626 ISBN-13:
  • 465.0 pages Paperback
  • English Language
  • 9.25 in * 1.06 in * 6.1 in Dimensions:
  • 1 lb Weight: