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Handbook of stochastic methods : for the natural and social sciences

Author: C W Gardiner
Publisher: Berlin ; London : Springer, 2009.
Series: Springer series in synergetics, v. 13.
Edition/Format:   Print book : English : 4th edView all editions and formats
Summary:
This classic text collects, in simple language & deductive form, the many formulae & methods that can be found in the scientific literature on stochastic methods. It is written without excessive mathematical rigour, yet restricted to those methods & approximations thereof, that can be systematized & controlled in a quantitative way.
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Document Type: Book
All Authors / Contributors: C W Gardiner
ISBN: 9783540707127 3540707123
OCLC Number: 643506128
Notes: Previous edition: 2004.
Target Audience: Specialized.
Description: 465 pages.
Contents: A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker-Planck Equation.- The Fokker-Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limit.- Beyond the White Noise Limit.- Levy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Stochastic Differential Equations.
Series Title: Springer series in synergetics, v. 13.
Responsibility: C.W. Gardiner.

Abstract:

This classic text and reference collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This fourth edition has been thoroughly updated and  Read more...

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From the reviews of the fourth edition:"This is the fourth edition of a textbook intended for everyone interested in practising stochastic processes. ... this fourth one is 'thoroughly revised and Read more...

 
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