Stochastic Methods
Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences
(Sprache: Englisch)
This classic text and reference collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This fourth edition has been thoroughly updated and restructured, and features a large amount of entirely new material.
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This classic text and reference collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This fourth edition has been thoroughly updated and restructured, and features a large amount of entirely new material.
Klappentext zu „Stochastic Methods “
This fourth edition of Stochastic Methods is thoroughly revised and augmented, and has been completely reset. While keeping to the spirit of the book I wrote originally, I have reorganised the chapters of Fokker-Planck equations and those on appr- imation methods, and introduced new material on the white noise limit of driven stochastic systems, and on applications and validity of simulation methods based on the Poisson representation. Further, in response to the revolution in ?nancial m- kets following from the discovery by Fischer Black and Myron Scholes of a reliable option pricing formula, I have written a chapter on the application of stochastic me- ods to ?nancial markets. In doing this, I have not restricted myself to the geometric Brownian motion model, but have also attempted to give some ?avour of the kinds of methods used to take account of the realities of ?nancial markets. This means that I have also given a treatment of Levy ´ processes and their applications to ?nance, since these are central to most current thinking. Since this book was written the rigorous mathematical formulation of stochastic processes has developed considerably, most particularly towards greater precision and generality, and this has been re?ected in the way the subject is presented in m- ern applications, particularly in ?nance.
Inhaltsverzeichnis zu „Stochastic Methods “
- 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 Limited
- Beyond the White Noise Limit
- Lévy Processes and Financial Applications
- Master Equations and Jump Processes
- The Poisson Representation
- Spatially Distributed Systems
- Bistability, Mestability, and Escape Problems
- Simulation of Stochastic Differential Equations
- References
- Bibliography
- Author Index
- Symbol Index
- Subject Index
Bibliographische Angaben
- Autor: Crispin Gardiner
- 2009, New ed., XVIII, 447 Seiten, mit Abbildungen, Maße: 16 x 24,1 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3540707123
- ISBN-13: 9783540707127
- Erscheinungsdatum: 16.01.2009
Sprache:
Englisch
Rezension zu „Stochastic Methods “
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)
Pressezitat
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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