Description

Book Synopsis
Presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events).

Trade Review
This book strikes a nice balance between mathematical formalism and intuitive arguments; a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation."" —Peter Rabinovitch, MAA Reviews

Table of Contents
  • Fundamentals: Random variables
  • Limit theorems
  • Markov chains
  • Monte Carlo methods
  • Stochastic processes
  • Wiener process
  • Stochastic differential equations
  • Fokker-Planck equation
  • Advanced topics: Path integral
  • Random fields
  • Introduction to statistical mechanics
  • Rare events
  • Introduction to chemical reaction kinetics
  • Appendix
  • Bibliography
  • Index

Applied Stochastic Analysis

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    A Paperback by Weinan E, Tiejun Li, Eric Vanden-Eijnden

    £70.20

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    RRP £78.00 – you save £7.80 (10%)

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      Book details

      Publisher American Mathematical Society
      Published 5/30/2019 12:00:00 AM
      ISBN-13 9781470465698
      978-1470465698
      ISBN-10 1470465698
      Also in:
      Applied mathematics Calculus and mathematical analysis

      Description

      Book Synopsis
      Presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events).

      Trade Review
      This book strikes a nice balance between mathematical formalism and intuitive arguments; a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation."" —Peter Rabinovitch, MAA Reviews

      Table of Contents
      • Fundamentals: Random variables
      • Limit theorems
      • Markov chains
      • Monte Carlo methods
      • Stochastic processes
      • Wiener process
      • Stochastic differential equations
      • Fokker-Planck equation
      • Advanced topics: Path integral
      • Random fields
      • Introduction to statistical mechanics
      • Rare events
      • Introduction to chemical reaction kinetics
      • Appendix
      • Bibliography
      • Index

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