Theory and Applications of Stochastic Processes: An Analytical Approach (Applied Mathematical Sciences, 170) - Softcover

Schuss, Zeev

Softcover

ISBN 10: 1461425425 ISBN 13: 9781461425427

Publisher: Springer, 2012

Synopsis

The book shows how to formulate problems in probability theory in terms of differential, difference, integral, and partial differential equations and how to solve them by the approximation methods of applied mathematics.

About this title

From the Back Cover:

This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences. Its aim is to make probability theory readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and in asymptotic methods, rather than in probability and measure theory. It shows how to derive explicit expressions for quantities of interest by solving equations. Emphasis is put on rational modeling and approximation methods.

The book includes many detailed illustrations, applications, examples and exercises. It will appeal to graduate students and researchers in mathematics, physics and engineering.

Review:

From the reviews:

“It intends to investigate the role of stochastic processes in questions from physics or engineering, to explore the strong relationship between stochastic and partial differential equations and to provide analytical approximations to the solutions. ... The book will be very helpful to people working in disciplines like statistical physics, physical chemistry, molecular biophysics, and communications theory. ... Endowed with numerous exercises and worked-out examples, it may also provide graduate students with a well-thought-out two-semester course on stochastic processes and their applications.”­­­ (Dominique Lépingle, Mathematical Reviews, Issue 2011 d)

“This book is something for which many have been long awaiting. It provides a rather in-depth presentation of the analytical approach to stochastic processes with continuous paths. ... The methods developed in the text are very accessible to applied mathematicians with a basic background in probability theory. This is a timely and unique contribution, from one of its leading researchers over four decades, to an exciting area of applied mathematics with ever-growing importance.” (Hong Qian, SIAM Review, Vol. 53 (1), 2011)

About this edition

• Publisher: Springer
• Publication date: 2012
• ISBN 10: 1461425425
• ISBN 13: 9781461425427
• Binding: Paperback
• Number of pages: 485