Description

Book Synopsis
This 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 Contents
1. 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.

Stochastic Processes for Physicists Understanding Noisy Systems

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    A Hardback by Kurt Jacobs

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      Book details

      Publisher Cambridge University Press
      Published 2/18/2010 12:00:00 AM
      ISBN-13 9780521765428
      978-0521765428
      ISBN-10 0521765420
      Also in:
      Finance and the finance industry Mathematical / Computational / Theoretical physics

      Description

      Book Synopsis
      This 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 Contents
      1. 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.

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