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Stochastic Processes and Applications

Grigorios A. Pavliotis
Publisher: 
Springer
Publication Date: 
2014
Number of Pages: 
339
Format: 
Hardcover
Series: 
Texts in Applied Mathematics 60
Price: 
79.99
ISBN: 
9781493913220
Category: 
Textbook
We do not plan to review this book.

Stochastic Processes.- Diffusion Processes.- Introduction to Stochastic Differential Equations.- The Fokker-Planck Equation.- Modelling with Stochastic Differential Equations.- The Langevin Equation.- Exit Problems for Diffusions.- Derivation of the Langevin Equation.- Linear Response Theory.- Appendix A Frequently Used Notations.- Appendix B Elements of Probability Theory.