Stochastic Methods: A Handbook for the Natural and Social Sciences / Edition 4

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Overview

This fourth edition of the classic text "A Handbook of Stochastic Methods" has been significantly augmented, thoroughly revised, and restructured to accomodate the new material within a systematic logical framework. This new edition adheres the original aim: "to make available in simple language and deductive form, the many formulae and methods that can be found in the literature on stochastic methods."
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Editorial Reviews

From the Publisher
From the reviews of the fourth edition:

“This is the fourth edition of a textbook intended for everyone interested in practising shastic processes. … this fourth one is ‘thoroughly revised and augmented, and has been completely reset. … this new edition is designed to cater better for the wider readership as well as to those [he] originally had in mind’. … The bibliography is well presented, with a list of the references cited in each chapter, a commented global bibliography and an author index.” (Yves Elskens, Belgian Physical Society Magazine, Issue 2, 2012)

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Product Details

  • ISBN-13: 9783642089626
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 11/19/2010
  • Series: Springer Series in Synergetics , #13
  • Edition description: Softcover reprint of hardcover 4th ed. 2009
  • Edition number: 4
  • Pages: 447
  • Product dimensions: 6.10 (w) x 9.10 (h) x 1.10 (d)

Table of Contents

A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Shastic 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.- Lévy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Shastic Differential Equations.

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