Stochastic Processes and Applications: Diffusion Processes, the Fokker-Planck and Langevin Equations by Grigorios A. Pavliotis
English | EPUB | 2014 | 345 Pages | ISBN : 1493913220 | 4.38 MB
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated.