Stochastic methods : a handbook for the natural and social sciences / Crispin W. Gardiner.

Bibliographic Details
Uniform Title:Springer series in synergetics (Unnumbered)
Springer complexity.
Main Author: Gardiner, C. W. (Crispin W.), 1942-
Language:English
Published: Berlin : Springer, [2009], ©2009.
Edition:Fourth edition.
Series:Springer series in synergetics (Unnumbered)
Springer complexity.
Subjects:
Stochastic processes.
Stochastic Processes.
Processus stochastiques.
Mathematische Physik.
Stochastische Analysis.
Stochastischer Prozess.
Stokastiska processer.
Online Access:
(Table of contents)
(Table of contents)
(Table of contents)
Physical Description:xvii, 447 pages : illustrations ; 25 cm.
Format: Book

MARC

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505 0 |a 1. A Historical Introduction -- 2. Probability Concepts -- 3. Markov Processes -- 4. The Ito Calculus and Stochastic Differential Equations -- 5. The Fokker-Planck Equation -- 6. The Fokker-Planck Equation in Several Dimensions -- 7. Small Noise Approximations for Diffusion Processes -- 8. The White Noise Limit -- 9. Beyond the White Noise Limit -- 10. Levy Processes and Financial Applications -- 11. Master Equations and Jump Processes -- 12. The Poisson Representation -- 13. Spatially Distributed Systems -- 14. Bistability, Metastability, and Escape Problems -- 15. Simulation of Stochastic Differential Equations. 
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