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Stochastic Processes for Physicists
Understanding Noisy Systems

  • Author: Kurt Jacobs, Army Research Laboratory in Maryland
  • Date Published: February 2010
  • availability: Available
  • format: Hardback
  • isbn: 9780521765428

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  • Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.

    • Provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory
    • Gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background
    • Concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory
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    Reviews & endorsements

    'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.' Cosma Shalizi, Physics Today

    'I think this book is a very nice introduction to the subject of stochastic processes.' Zentralblatt MATH

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    Product details

    • Date Published: February 2010
    • format: Hardback
    • isbn: 9780521765428
    • length: 204 pages
    • dimensions: 249 x 173 x 15 mm
    • weight: 0.57kg
    • contains: 17 b/w illus. 73 exercises
    • availability: Available
  • Table of Contents

    1. A review of probability theory
    2. Differential equations
    3. Stochastic equations with Gaussian noise
    4. Further properties of stochastic processes
    5. Some applications of Gaussian noise
    6. Numerical methods for Gaussian noise
    7. Fokker–Planck equations and reaction-diffusion systems
    8. Jump processes
    9. Levy processes
    10. Modern probability theory
    Appendix
    References
    Index.

  • Instructors have used or reviewed this title for the following courses

    • Molecular Simulation
    • Stochastic Models
  • Author

    Kurt Jacobs, Army Research Laboratory in Maryland
    Kurt Jacobs is an Assistant Professor in the Physics Department at the University of Massachusetts, Boston. He is a leading expert in the theory of quantum feedback control and the measurement and control of quantum nano-electro-mechanical systems.

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