Asymptotic Methods for the Fokker-Planck Equation and the Exit Problem in Applications
Authors: Grasman, Johan, Herwaarden, Onno A., van
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- About this book
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Asymptotic methods are of great importance for practical applications, especially in dealing with boundary value problems for small stochastic perturbations. This book deals with nonlinear dynamical systems perturbed by noise. It addresses problems where noise leads to qualitative changes, escape from the attraction domain, or extinction in population dynamics. The most likely exit point and expected escape time are determined with singular perturbation methods for the corresponding Fokker-Planck equation. The authors indicate how their techniques relate to the Itô calculus applied to the Langevin equation. The book will be useful to researchers and graduate students.
- Table of contents (10 chapters)
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Dynamical Systems Perturbed by Noise: the Langevin Equation
Pages 3-17
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The Fokker—Planck Equation: First Exit from a Domain
Pages 18-26
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The Fokker—Planck Equation: One Dimension
Pages 27-39
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Singular Perturbation Analysis of the Differential Equations for the Exit Probability and Exit Time in One Dimension
Pages 43-72
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The Fokker—Planck Equation in Several Dimensions: the Asymptotic Exit Problem
Pages 73-96
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Table of contents (10 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Asymptotic Methods for the Fokker-Planck Equation and the Exit Problem in Applications
- Authors
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- Johan Grasman
- Onno A., van Herwaarden
- Series Title
- Springer Series in Synergetics
- Copyright
- 1999
- Publisher
- Springer-Verlag Berlin Heidelberg
- Copyright Holder
- Springer-Verlag Berlin Heidelberg
- eBook ISBN
- 978-3-662-03857-4
- DOI
- 10.1007/978-3-662-03857-4
- Hardcover ISBN
- 978-3-540-64435-4
- Softcover ISBN
- 978-3-642-08409-6
- Series ISSN
- 0172-7389
- Edition Number
- 1
- Number of Pages
- IX, 220
- Topics
