Stochastic Methods: A Handbook for the Natural and Social Sciences

by Crispin W. Gardiner

Book Overview

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.- L vy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.-...

• Format: Paperback
• Language: English
• ISBN: 3642089623
• ISBN13: 9783642089626
• Release Date: October 2010
• Publisher: Springer
• Length: 447 Pages
• Weight: 1.80 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"