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A Guide to First-Passage Processes

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Paperback | 15 May 2007

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328 Pages

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22.86 x 15.24 x 1.85

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First-passage properties underlie a wide range of stochastic processes, such as diffusion-limited growth, neuron firing and the triggering of stock options. This book provides a unified presentation of first-passage processes, which highlights its interrelations with electrostatics and the resulting powerful consequences. The author begins with a presentation of fundamental theory including the connection between the occupation and first-passage probabilities of a random walk, and the connection to electrostatics and current flows in resistor networks. The consequences of this theory are then developed for simple, illustrative geometries including the finite and semi-infinite intervals, fractal networks, spherical geometries and the wedge. Various applications are presented including neuron dynamics, self-organized criticality, diffusion-limited aggregation, the dynamics of spin systems and the kinetics of diffusion-controlled reactions. First-passage processes provide an appealing way for graduate students and researchers in physics, chemistry, theoretical biology, electrical engineering, chemical engineering, operations research and finance to understand all of these systems.

Industry Reviews

'... this is unquestionably a valuable book, written at an accessible level for graduate students while providing a nice summary of the last century's - and notably the last two decades' - developments of these methods. I do not doubt that this will be a popular book; it fills a hole in the textbook/monograph literature that's needed filling for at least ten years. Moreover, the author's style is relaxed and crystal clear while maintaining mathematical precision and power.' Charles Doering, University of Michigan '... to practitioners in the field of first-passage problems and to students entering the field ... I can recommend it strongly ... It is clearly written and the organisation and presentation of the material are excellent. It serves as a useful repository of standard and not-so-standard techniques which anyone working in the area of stochastic processes in general, and first-passage problems in particular, will want to have on their shelves.' Alan J. Bray, The Journal of Statistical Physics 'I found the author's style accessible and interesting.' Contemporary Physics

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You Can Find This Book In

Non-Fiction Mathematics Applied Mathematics Stochastics Science Science in General Maths for Scientists Engineering & Technology Technology in General Maths for Engineers Probability & Statistics Physics

Accounting & Finance Finance

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Hardcover

Published: 16th November 2001

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Preface
Errata
First-passage fundamentals
First passage in an interval
Semi-infinite system
Illustrations of first passage in simple geometries
Fractal and nonfractal networks
Systems with spherical symmetry
Wedge domains
Applications to simple reactions
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

A Guide to First-Passage Processes

At a Glance

Paperback

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Hardcover

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