Presents theory, sources, and applications of stochastic differential equations of Ito's type; those containing white noise. Closely studies first passage problems by modern singular perturbation methods and their role in various fields of science. Introduces analytical methods to obtain information on probabilistic quantities. Demonstrates the role of partial differential equations in this context. Clarifies the relationship between the complex mathematical theories involved and sources of the problem for physicists, chemists, engineers, and other non-mathematical specialists.
|Series:||Wiley Series in Probability and Statistics - Applied Probability and Statistics Section Series , #27|
|Product dimensions:||1.26(w) x 3.39(h) x (d)|
Table of Contents
Review of Probability Theory.
The Brownian Motion.
The Stochastic (ITô) Calculus.
Stochastic Differential Equations.
Stochastic Differential Equations and Partial Differential Equations.
Asymptotic Analysis of Stochastic Differential Equations.
The Exit Problem and Singular Perturbations.
Diffusion Across Potential Barriers.
Topics in Classical Mechanics and in Differential Equations.
Appendix: Elements of Electrical Circuits.