Stochastic Processes for Physicists

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.

ISBN	0521765420	Pages	202
ISBN13	9780521765428 (What's this?)	Weight (grammes)	570
Publisher	Cambridge University Press	Published in	Cambridge
Imprint	Cambridge University Press	Height (mm)	247
Format	Hardback	Width (mm)	174
Publication date	18 Feb 2010	Spine width (mm)	14
DEWEY	519.2302453	Academic level	Postgraduate
DEWEY edition	DC22

1	A review of probability theory	1
2	Differential equations	16
3	Stochastic equations with Gaussian noise	26
4	Further properties of stochastic processes	55
5	Some applications of Gaussian noise	71
6	Numerical methods for Gaussian noise	91
7	Fokker-Planck equations and reaction-diffusion systems	102
8	Jump processes	127
9	Levy processes	151
10	Modern probability theory	166
App. A	Calculating Gaussian integrals	181
	References	184
	Index	186

'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.' Cosma Shalizi, Physics Today

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