Stochastic Processes for Physicists - Kurt Jacobs

Stochastic Processes for Physicists

Understanding Noisy Systems

(Autor)

Buch | Hardcover
204 Seiten
2010
Cambridge University Press (Verlag)
978-0-521-76542-8 (ISBN)
57,35 inkl. MwSt
This textbook is an accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics. It includes coverage of the more exotic Levy processes, and a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise.
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.

Kurt Jacobs is an Assistant Professor in the Physics Department at the University of Massachusetts, Boston. He is a leading expert in the theory of quantum feedback control and the measurement and control of quantum nano-electro-mechanical systems.

1. A review of probability theory; 2. Differential equations; 3. Stochastic equations with Gaussian noise; 4. Further properties of stochastic processes; 5. Some applications of Gaussian noise; 6. Numerical methods for Gaussian noise; 7. Fokker–Planck equations and reaction-diffusion systems; 8. Jump processes; 9. Levy processes; 10. Modern probability theory; Appendix; References; Index.

Erscheint lt. Verlag 18.2.2010
Zusatzinfo Worked examples or Exercises; 1 Halftones, unspecified; 16 Line drawings, unspecified
Verlagsort Cambridge
Sprache englisch
Maße 173 x 249 mm
Gewicht 570 g
Themenwelt Mathematik / Informatik Mathematik
Naturwissenschaften Physik / Astronomie Allgemeines / Lexika
Naturwissenschaften Physik / Astronomie Thermodynamik
ISBN-10 0-521-76542-0 / 0521765420
ISBN-13 978-0-521-76542-8 / 9780521765428
Zustand Neuware
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