Description
Book SynopsisThis textbook is an accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics. It includes coverage of the more exotic Levy processes, and a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise.
Trade Review'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.' Cosma Shalizi, Physics Today
'I think this book is a very nice introduction to the subject of stochastic processes.' Zentralblatt MATH
Table of Contents1. A review of probability theory; 2. Differential equations; 3. Stochastic equations with Gaussian noise; 4. Further properties of stochastic processes; 5. Some applications of Gaussian noise; 6. Numerical methods for Gaussian noise; 7. Fokker–Planck equations and reaction-diffusion systems; 8. Jump processes; 9. Levy processes; 10. Modern probability theory; Appendix; References; Index.
