Handbook of stochastic methods: for the natural and social sciences

This classic text and reference collects, in simple language and deductive form, the many formulae and methods that can be found in the scientific literature on stochastic methods. To be useful to students and practioners as a practical tool, the book is written without excessive mathematical rigour, yet restricted to those methods and approximations thereof, that can be systematized and controlled in a quantitative way. Over time, new editions have been expandedin scope for a widening readership that now encompasses all of the quantitative natural and social sciences. This fourth edition has been thoroughly updated and restructured, and features a large amount of entirely new material, including but not limited to aspects of driven stochastic systems, the applicationand validity of simulation methods as well as applications to financial markets. The leading reference text in the field for many years and continuously updated and expanded Features new sections and chapters on quantitative finance,adiabatic elimination and simulation methods Rewritten in many places for better clarity and more in-depth mathematical exposition INDICE: A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker PlanckEquation.- The Fokker Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limited.- Beyond the White Noise Limit.- Lévy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Mestability, and Escape Problems.- Simulation of Stochastic Differential Equations.- References.- Bibliography.- Author Index.- Symbol Index.- Subject Index.

• ISBN: 978-3-540-70712-7
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 465
• Fecha Publicación: 01/01/2009
• Nº Volúmenes: 1
• Idioma: Inglés