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Author:   Crispin Gardiner
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of hardcover 4th ed. 2009
Volume:   13
Dimensions:   Width: 15.50cm , Height: 2.40cm , Length: 23.50cm
Weight:   0.712kg
ISBN:  

9783642089626

ISBN 10:   3642089623
Pages:   447
Publication Date:   19 October 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD  
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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.- Lévy 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.

Reviews

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)

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)

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