Stochastic Methods - Gardiner, Crispin

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Résumé :
The Handbook of Stochastic Methods covers systematically and in simple language the foundations of Markov systems, stochastic differential equations, Fokker-Planck equations and stochastic master equations. Strong emphasis is placed on systematic approximation methods for solving problems. The practical orientation and broad coverage will appeal to researchers and academics working in theoretical physics, physical chemistry and mathematical finance. The inclusion of a new chapter on the numerical treatment of stochastic differential equations further enhances the value of the third edition of this classic text for practitioners. From the reviews: 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 sciences... 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) ...

Sommaire:
The Handbook of Stochastic Methods covers systematically and in simple language the foundations of Markov systems, stochastic differential equations, Fokker-Planck equations and stochastic master equations. Strong emphasis is placed on systematic approximation methods for solving problems. The practical orientation and broad coverage will appeal to researchers and academics working in theoretical physics, physical chemistry and mathematical finance. The inclusion of a new chapter on the numerical treatment of stochastic differential equations further enhances the value of the third edition of this classic text for practitioners. From the reviews: 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 sciences... 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) ...