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Stochastic Processes for Physicists Kurt Jacobs (University of Massachusetts, Boston)

Stochastic Processes for Physicists By Kurt Jacobs (University of Massachusetts, Boston)

Stochastic Processes for Physicists by Kurt Jacobs (University of Massachusetts, Boston)


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Summary

This textbook is an accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics. It includes coverage of the more exotic Levy processes, and a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise.

Stochastic Processes for Physicists Summary

Stochastic Processes for Physicists: Understanding Noisy Systems by Kurt Jacobs (University of Massachusetts, Boston)

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.

Stochastic Processes for Physicists Reviews

'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

About Kurt Jacobs (University of Massachusetts, Boston)

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.

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. FokkerPlanck equations and reaction-diffusion systems; 8. Jump processes; 9. Levy processes; 10. Modern probability theory; Appendix; References; Index.

Additional information

NPB9780521765428
9780521765428
0521765420
Stochastic Processes for Physicists: Understanding Noisy Systems by Kurt Jacobs (University of Massachusetts, Boston)
New
Hardback
Cambridge University Press
2010-02-18
204
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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