Stochastic processes and applications [electronic resource] : diffusion processes, the Fokker-Planck and Langevin equations / Grigorios A. Pavliotis.

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Stochastic processes and applications [electronic resource] : diffusion processes, the Fokker-Planck and Langevin equations / Grigorios A. Pavliotis.

9781493913237 electronic book
1493913239 electronic book
9781493913220
1493913220

New York, NY : Springer, 2014.

English

1 online resource (xiii, 339 pages) : illustrations (some color).

10.1007/978-1-4939-1323-7 doi

QA274

519.2

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 processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Includes bibliographical references and index.

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Texts in applied mathematics ; 60. 0939-2475

Print version: 9781493913220

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