Theory and Applications of Stochastic Processes An Analytical Approach /

• Main Author: Schuss, Zeev. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: New York, NY : Springer New York, 2010.
• Series: Applied Mathematical Sciences, 170
• Subjects: Mathematics.; Distribution (Probability theory).; Engineering mathematics.; Probability Theory and Stochastic Processes.; Statistical Physics, Dynamical Systems and Complexity.; Appl.Mathematics/Computational Methods of Engineering.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4419-1605-1

This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences. Its aim is to make probability theory readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differenti...

Table of Contents:

• Introduction
• The Physical Brownian Motion: Diffusion and Noise
• The Probability Space of Brownian Motion
• Ito Integration and Calculus
• Stochastic Differential Equations
• The Discrete Approach and Boundary Behavior
• The First Passage Time of Diffusions
• Markov Processes and Diffusion Approximations
• Diffusion Approximations to Langevin's Equation
• Large Deviations of Markovian Jump Processes
• Noise-Induced Escape from an Attractor
• Stochastic Stability
• Bibliography.