ENGLISH

Stochastic Processes for Physicists: Understanding Noisy Systems

By Kurt Jacobs

Book information

Publisher
Cambridge University Press
Year
2010
ISBN
0521765420, 9780521765428
LCC
QC20.7.S8 J33 2010
Open Library ID
OL24480187M
Language
english
Format
PDF
Filesize
1 MB (1291185 bytes)
Edition
1
Pages
204\204
Time added
2011-01-06 10:13:16

Description

Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.

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