Physics Of Stochastic Processes
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Stochastic Processes In Physics And Chemistry
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Author : N.G. Van Kampen
language : en
Publisher: Elsevier
Release Date : 1992-11-20
Stochastic Processes In Physics And Chemistry written by N.G. Van Kampen and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-11-20 with Science categories.
This new edition of Van Kampen's standard work has been completely revised and updated. Three major changes have also been made. The Langevin equation receives more attention in a separate chapter in which non-Gaussian and colored noise are introduced. Another additional chapter contains old and new material on first-passage times and related subjects which lay the foundation for the chapter on unstable systems. Finally a completely new chapter has been written on the quantum mechanical foundations of noise. The references have also been expanded and updated.
An Introduction To Stochastic Processes In Physics
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Author : Don S. Lemons
language : en
Publisher: JHU Press
Release Date : 2002-06-21
An Introduction To Stochastic Processes In Physics written by Don S. Lemons and has been published by JHU Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-06-21 with Mathematics categories.
This book provides an accessible introduction to stochastic processes in physics and describes the basic mathematical tools of the trade: probability, random walks, and Wiener and Ornstein-Uhlenbeck processes. It includes end-of-chapter problems and emphasizes applications. An Introduction to Stochastic Processes in Physics builds directly upon early-twentieth-century explanations of the "peculiar character in the motions of the particles of pollen in water" as described, in the early nineteenth century, by the biologist Robert Brown. Lemons has adopted Paul Langevin's 1908 approach of applying Newton's second law to a "Brownian particle on which the total force included a random component" to explain Brownian motion. This method builds on Newtonian dynamics and provides an accessible explanation to anyone approaching the subject for the first time. Students will find this book a useful aid to learning the unfamiliar mathematical aspects of stochastic processes while applying them to physical processes that he or she has already encountered.
Stochastic Processes
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Author : Wolfgang Paul
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-07-11
Stochastic Processes written by Wolfgang Paul and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-11 with Science categories.
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.
Stochastic Processes
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Author : Wolfgang Paul
language : en
Publisher: Springer Science & Business Media
Release Date : 1999
Stochastic Processes written by Wolfgang Paul and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
The book is an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods and are taken from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.
Stochastic Processes In Physics Chemistry And Biology
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Author : Jan A. Freund
language : en
Publisher: Springer
Release Date : 2008-01-11
Stochastic Processes In Physics Chemistry And Biology written by Jan A. Freund and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-11 with Science categories.
The theory of stochastic processes originally grew out of efforts to describe Brownian motion quantitatively. Today it provides a huge arsenal of methods suitable for analyzing the influence of noise on a wide range of systems. The credit for acquiring all the deep insights and powerful methods is due ma- ly to a handful of physicists and mathematicians: Einstein, Smoluchowski, Langevin, Wiener, Stratonovich, etc. Hence it is no surprise that until - cently the bulk of basic and applied stochastic research was devoted to purely mathematical and physical questions. However, in the last decade we have witnessed an enormous growth of results achieved in other sciences - especially chemistry and biology - based on applying methods of stochastic processes. One reason for this stochastics boom may be that the realization that noise plays a constructive rather than the expected deteriorating role has spread to communities beyond physics. Besides their aesthetic appeal these noise-induced, noise-supported or noise-enhanced effects sometimes offer an explanation for so far open pr- lems (information transmission in the nervous system and information p- cessing in the brain, processes at the cell level, enzymatic reactions, etc.). They may also pave the way to novel technological applications (noise-- hanced reaction rates, noise-induced transport and separation on the na- scale, etc.). Key words to be mentioned in this context are stochastic r- onance, Brownian motors or ratchets, and noise-supported phenomena in excitable systems.
Probability And Stochastic Processes For Physicists
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Author : Nicola Cufaro Petroni
language : en
Publisher: Springer Nature
Release Date : 2020-06-25
Probability And Stochastic Processes For Physicists written by Nicola Cufaro Petroni and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-25 with Science categories.
This book seeks to bridge the gap between the parlance, the models, and even the notations used by physicists and those used by mathematicians when it comes to the topic of probability and stochastic processes. The opening four chapters elucidate the basic concepts of probability, including probability spaces and measures, random variables, and limit theorems. Here, the focus is mainly on models and ideas rather than the mathematical tools. The discussion of limit theorems serves as a gateway to extensive coverage of the theory of stochastic processes, including, for example, stationarity and ergodicity, Poisson and Wiener processes and their trajectories, other Markov processes, jump-diffusion processes, stochastic calculus, and stochastic differential equations. All these conceptual tools then converge in a dynamical theory of Brownian motion that compares the Einstein–Smoluchowski and Ornstein–Uhlenbeck approaches, highlighting the most important ideas that finally led to a connection between the Schrödinger equation and diffusion processes along the lines of Nelson’s stochastic mechanics. A series of appendices cover particular details and calculations, and offer concise treatments of particular thought-provoking topics.
Theory And Applications Of Stochastic Processes
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Author : Zeev Schuss
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-09
Theory And Applications Of Stochastic Processes written by Zeev Schuss and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-09 with Mathematics categories.
Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.
Stochastic Calculus And Differential Equations For Physics And Finance
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Author : Joseph L. McCauley
language : en
Publisher: Cambridge University Press
Release Date : 2013-02-21
Stochastic Calculus And Differential Equations For Physics And Finance written by Joseph L. McCauley and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-21 with Business & Economics categories.
Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker–Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman–Kolmogorov and Fokker–Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.
Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19
Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.
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.