Stochastic Tools in Mathematics and Science

✍ Scribed by Alexandre Chorin, Ole H. Hald (auth.)

• Publisher: Springer New York
• Year: 2009
• Tongue: English
• Leaves: 168
• Series: Surveys and Tutorials in the Applied Mathematical Sciences 1
• Edition: 2nd ed.
• Category: Library

✦ Synopsis

This is an excellent user's guide to stochastic calculus and its important applications. I say excellent because it is well-written (clear and easy to read with a focus on the essentials as previous review said). I say "user's guide" because the author's get down to the nut's and bolt's of stochastic processes (concepts and related equations). I say "important applications" because they again focus on key "tools" such as Fokker-Planck equation and related stochastic differential equation, statistical mechanics, MCMC, turbulence, etc. - so there is something for everyone here e.g. physicists, financial "engineers", ME's and Aero's simulating turbulence (especially via PDF methods), etc. A few criticisms would be lack of "pixels" - they say a picture tell's a thousand words for a reason, hard to locate a term or definition or concept from index,...Overall, a very nicely priced/sized read and a must have reference for anyone working with stochastic processes seeking insight.

✦ Table of Contents

Front Matter....Pages 1-9
Preliminaries....Pages 1-17
Probability....Pages 19-46
Brownian Motion....Pages 47-81
Stationary Stochastic Processes....Pages 83-107
Statistical Mechanics....Pages 109-134
Time-Dependent Statistical Mechanics....Pages 135-159
Back Matter....Pages 1-2

✦ Subjects

Probability Theory and Stochastic Processes;Statistical Physics;Mechanics, Fluids, Thermodynamics;Applications of Mathematics;Engineering Fluid Dynamics