Description
Book SynopsisPresents 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 ReviewThis 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
