Stochastic Processes for Physicists

Understanding Noisy Systems

By: Kurt Jacobs

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Hardcover | 18 February 2010

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204 Pages

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24 x 17.5 x 2

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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.

Industry Reviews

'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.' Cosma Shalizi, Physics Today
'I think this book is a very nice introduction to the subject of stochastic processes.' Zentralblatt MATH

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You Can Find This Book In

Non-Fiction Mathematics Probability & Statistics Science Physics Statistical Physics Mathematical Physics Applied Mathematics Accounting & Finance Finance

A review of probability theory
Differential equations
Stochastic equations with Gaussian noise
Further properties of stochastic processes
Some applications of Gaussian noise
Numerical methods for Gaussian noise
Fokker-Planck equations and reaction-diffusion systems
Jump processes
Levy processes
Modern probability theory
Appendix
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

Stochastic Processes for Physicists

Understanding Noisy Systems

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

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