Applied Mathematical Sciences

Theory and Applications of Stochastic Processes

An Analytical Approach

Authors: Schuss, Zeev

  • A wealth of examples from physics, chemistry, biology and engineering
  • Treads a route between probabilists and physical scientists
  • Includes many physically relevant results and discussions
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eBook $54.99
price for USA (gross)
  • ISBN 978-1-4419-1605-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Hardcover $69.95
price for USA
  • ISBN 978-1-4419-1604-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.95
price for USA
  • ISBN 978-1-4614-2542-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences. Its aim is to make probability theory readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and in asymptotic methods, rather than in probability and measure theory. It shows how to derive explicit expressions for quantities of interest by solving equations. Emphasis is put on rational modeling and approximation methods.

The book includes many detailed illustrations, applications, examples and exercises. It will appeal to graduate students and researchers in mathematics, physics and engineering.

Reviews

From the reviews:

“It intends to investigate the role of stochastic processes in questions from physics or engineering, to explore the strong relationship between stochastic and partial differential equations and to provide analytical approximations to the solutions. … The book will be very helpful to people working in disciplines like statistical physics, physical chemistry, molecular biophysics, and communications theory. … Endowed with numerous exercises and worked-out examples, it may also provide graduate students with a well-thought-out two-semester course on stochastic processes and their applications.”­­­ (Dominique Lépingle, Mathematical Reviews, Issue 2011 d)

“This book is something for which many have been long awaiting. It provides a rather in-depth presentation of the analytical approach to stochastic processes with continuous paths. … The methods developed in the text are very accessible to applied mathematicians with a basic background in probability theory. This is a timely and unique contribution, from one of its leading researchers over four decades, to an exciting area of applied mathematics with ever-growing importance.” (Hong Qian, SIAM Review, Vol. 53 (1), 2011)


Table of contents (11 chapters)

  • The Physical Brownian Motion: Diffusion And Noise

    Schuss, Zeev

    Pages 1-24

  • The Probability Space of Brownian Motion

    Schuss, Zeev

    Pages 25-62

  • Itô Integration and Calculus

    Schuss, Zeev

    Pages 63-91

  • Stochastic Differential Equations

    Schuss, Zeev

    Pages 92-132

  • The Discrete Approach and Boundary Behavior

    Schuss, Zeev

    Pages 133-175

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-4419-1605-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $69.95
price for USA
  • ISBN 978-1-4419-1604-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.95
price for USA
  • ISBN 978-1-4614-2542-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Theory and Applications of Stochastic Processes
Book Subtitle
An Analytical Approach
Authors
Series Title
Applied Mathematical Sciences
Series Volume
170
Copyright
2010
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-1-4419-1605-1
DOI
10.1007/978-1-4419-1605-1
Hardcover ISBN
978-1-4419-1604-4
Softcover ISBN
978-1-4614-2542-7
Series ISSN
0066-5452
Edition Number
1
Number of Pages
XVII, 468
Topics