Stochastic Methods
30%
off

Stochastic Methods : A Handbook for the Natural and Social Sciences

4.71 (7 ratings by Goodreads)
By (author) 

Free delivery worldwide

Available. Dispatched from the UK in 1 business day
When will my order arrive?

Description

In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.
show more

Product details

  • Hardback | 447 pages
  • 155 x 235 x 30.48mm | 863g
  • Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Berlin, Germany
  • English
  • Revised
  • 4th ed. 2009
  • XVIII, 447 p.
  • 3540707123
  • 9783540707127
  • 446,917

Back cover copy

This fourth edition of the classic text "A Handbook of Stochastic Methods" has been significantly augmented, thoroughly revised, and restructured to accomodate the new material within a systematic logical framework. This new edition adheres the original aim: "to make available in simple language and deductive form, the many formulae and methods that can be found in the literature on stochastic methods."



A new chapter on the applications of stochastic methods in finance provides an introduction to this field using the same simple kind of language as the other parts of the book. This chapter also includes an introduction to Lévy processes, which have found to be very useful in simulating financial systems where more accuracy is required than is available from simple Brownian motion models. New material is also provided on the approach to the white noise limit, on the applications of Poisson representation methods to population dynamics, and on several other applications of stochastic methods.



From the reviews of previous editions



"Extremely well written and informative... clear, complete, and fairly rigorous treatment of a larger number of very basic concepts in stochastic theory." (Journal of Quantum Electronics)



"A first class book." (Optica Acta)



"Ideal for people who need a clear introduction to stochastic mathematics and their applications in physical sciencesââ'¬Â] an excellent self study and reference book." (Quantnotes.com)



"This well-established volume takes a supreme position [among the many books on the subject].. This extremely valuable contribution to the field of applied stochastic methods can be recommended to graduate students, researchers, and university teachers." (Optimization)
show more

Table of contents

A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker-Planck Equation.- The Fokker-Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limit.- Beyond the White Noise Limit.- Levy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Stochastic Differential Equations.
show more

Review Text

From the reviews of the fourth edition:

"This is the fourth edition of a textbook intended for everyone interested in practising stochastic processes. ... this fourth one is 'thoroughly revised and augmented, and has been completely reset. ... this new edition is designed to cater better for the wider readership as well as to those [he] originally had in mind'. ... The bibliography is well presented, with a list of the references cited in each chapter, a commented global bibliography and an author index." (Yves Elskens, Belgian Physical Society Magazine, Issue 2, 2012)
show more

Review quote

From the reviews of the fourth edition:

"This is the fourth edition of a textbook intended for everyone interested in practising stochastic processes. ... this fourth one is 'thoroughly revised and augmented, and has been completely reset. ... this new edition is designed to cater better for the wider readership as well as to those [he] originally had in mind'. ... The bibliography is well presented, with a list of the references cited in each chapter, a commented global bibliography and an author index." (Yves Elskens, Belgian Physical Society Magazine, Issue 2, 2012)
show more

Rating details

7 ratings
4.71 out of 5 stars
5 71% (5)
4 29% (2)
3 0% (0)
2 0% (0)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X