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Stochastic Processes and Applications Diffusion Processes, the Fokker-Planck and Langevin Equations

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion proce...

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Bibliographic Details
Main Author: Pavliotis, Grigorios A.
Format: eBook
Language:English
Published: New York, NY Springer New York 2014, 2014
Edition:1st ed. 2014
Series:Texts in Applied Mathematics
Subjects:
Mechanics, Applied
Probability Theory
Engineering Mechanics
Mathematical Physics
Differential Equations
Theoretical, Mathematical And Computational Physics
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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

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