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Physics of Stochastic Processes: How Randomness Acts in Time

Physics of Stochastic Processes: How Randomness Acts in Time

Reinhard Mahnke, Jevgenijs Kaupuzs, Ihor Lubashevsky

ISBN: 978-3-527-62609-0

Dec 2009

447 pages

Description

Based on lectures given by one of the authors with many years of experience in teaching stochastic processes, this textbook is unique in combining basic mathematical and physical theory with numerous simple and sophisticated examples as well as detailed calculations.
In addition, applications from different fields are included so as to strengthen the background learned in the first part of the book. With its exercises at the end of each chapter (and solutions only available to lecturers) this book will benefit students and researchers at different educational levels.

Solutions manual available for lecturers on www.wiley-vch.de
Fundamental Concepts
Multidimensional Approach
The Master Equation
The Fokker-Planck Equation
The Langevin Equation
One-Dimensional Diffusion
Bounded Drift-Diffusion Motion
The Ornstein-Uhlenbeck Process
Nucleation in Supersaturated Vapors
Vehicular Traffic
Noise-Induced Phase Transitions
Many-Particle Systems

“This is a very well written textbook devoted to applications of Markov processes in physics. It combines a concise and mathematically rigorous exposition of the main notions of stochastic calculus with a more classical approach based on the solution of a Fokker-Planck or master equation.”  (Zentralblatt MATH, 1 December 2012)