Stochastic processes for physicists: understanding noisy systems
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 te...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2010
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| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xiii, 188 pages) |
| ISBN: | 9780511815980 |
| DOI: | 10.1017/CBO9780511815980 |
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| contents | 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 A: Calculating Gaussian integrals |
| ctrlnum | (ZDB-20-CBO)CR9780511815980 (OCoLC)839036097 (DE-599)BVBBV043943856 |
| dewey-full | 519.2302453 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2302453 |
| dewey-search | 519.2302453 |
| dewey-sort | 3519.2302453 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1017/CBO9780511815980 |
| format | Electronic eBook |
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| isbn | 9780511815980 |
| language | English |
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| spelling | Jacobs, Kurt Verfasser aut Stochastic processes for physicists understanding noisy systems Kurt Jacobs Cambridge Cambridge University Press 2010 1 online resource (xiii, 188 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 A: Calculating Gaussian integrals 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 Mathematische Physik Stochastic processes Lévy processes Mathematical physics Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Rauschen (DE-588)4048606-0 gnd rswk-swf Mathematische Physik (DE-588)4037952-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s Mathematische Physik (DE-588)4037952-8 s 1\p DE-604 Rauschen (DE-588)4048606-0 s 2\p DE-604 Erscheint auch als Druckausgabe 978-0-521-76542-8 https://doi.org/10.1017/CBO9780511815980 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Jacobs, Kurt Stochastic processes for physicists understanding noisy systems 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 A: Calculating Gaussian integrals Mathematische Physik Stochastic processes Lévy processes Mathematical physics Stochastischer Prozess (DE-588)4057630-9 gnd Rauschen (DE-588)4048606-0 gnd Mathematische Physik (DE-588)4037952-8 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4048606-0 (DE-588)4037952-8 |
| title | Stochastic processes for physicists understanding noisy systems |
| title_auth | Stochastic processes for physicists understanding noisy systems |
| title_exact_search | Stochastic processes for physicists understanding noisy systems |
| title_full | Stochastic processes for physicists understanding noisy systems Kurt Jacobs |
| title_fullStr | Stochastic processes for physicists understanding noisy systems Kurt Jacobs |
| title_full_unstemmed | Stochastic processes for physicists understanding noisy systems Kurt Jacobs |
| title_short | Stochastic processes for physicists |
| title_sort | stochastic processes for physicists understanding noisy systems |
| title_sub | understanding noisy systems |
| topic | Mathematische Physik Stochastic processes Lévy processes Mathematical physics Stochastischer Prozess (DE-588)4057630-9 gnd Rauschen (DE-588)4048606-0 gnd Mathematische Physik (DE-588)4037952-8 gnd |
| topic_facet | Mathematische Physik Stochastic processes Lévy processes Mathematical physics Stochastischer Prozess Rauschen |
| url | https://doi.org/10.1017/CBO9780511815980 |
| work_keys_str_mv | AT jacobskurt stochasticprocessesforphysicistsunderstandingnoisysystems |