Theory and applications of stochastic processes: an analytical approach

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purelymathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences,as well as in optimal control and in the theory of filltering of signals fromnoisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory. A wealth of examples from physics, chemistry, biology and engineering Treads a route between probabilists and physical scientists Includes many physically relevant results and discussions INDICE: 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.

• ISBN: 978-1-4419-1604-4
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 356
• Fecha Publicación: 01/01/2010
• Nº Volúmenes: 1
• Idioma: Inglés