Probability And Stochastic Processes For Physicists

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Probability and Stochastic Processes for Physicists

Nicola Cufaro Petroni
Probability and Stochastic Processes for Physicists Book PDF

Author : Nicola Cufaro Petroni
Publisher : Springer Nature
Page : 372 pages
File Size : 45,9 Mb
Release : 2020-06-25
Category : Science
ISBN : 9783030484088

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Probability and Stochastic Processes for Physicists by Nicola Cufaro Petroni Pdf

This book seeks to bridge the gap between the parlance, the models, and even the notations used by physicists and those used by mathematicians when it comes to the topic of probability and stochastic processes. The opening four chapters elucidate the basic concepts of probability, including probability spaces and measures, random variables, and limit theorems. Here, the focus is mainly on models and ideas rather than the mathematical tools. The discussion of limit theorems serves as a gateway to extensive coverage of the theory of stochastic processes, including, for example, stationarity and ergodicity, Poisson and Wiener processes and their trajectories, other Markov processes, jump-diffusion processes, stochastic calculus, and stochastic differential equations. All these conceptual tools then converge in a dynamical theory of Brownian motion that compares the Einstein–Smoluchowski and Ornstein–Uhlenbeck approaches, highlighting the most important ideas that finally led to a connection between the Schrödinger equation and diffusion processes along the lines of Nelson’s stochastic mechanics. A series of appendices cover particular details and calculations, and offer concise treatments of particular thought-provoking topics.

Stochastic Processes for Physicists

Kurt Jacobs
Stochastic Processes for Physicists Book PDF

Author : Kurt Jacobs
Publisher : Cambridge University Press
Page : 203 pages
File Size : 54,6 Mb
Release : 2010-02-18
Category : Science
ISBN : 9781139486798

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Stochastic Processes for Physicists by Kurt Jacobs Pdf

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.

An Introduction to Stochastic Processes in Physics

Don S. Lemons
An Introduction to Stochastic Processes in Physics Book PDF

Author : Don S. Lemons
Publisher : Johns Hopkins University Press+ORM
Page : 165 pages
File Size : 41,5 Mb
Release : 2003-04-29
Category : Science
ISBN : 9780801876387

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An Introduction to Stochastic Processes in Physics by Don S. Lemons Pdf

This “lucid, masterfully written introduction to an often difficult subject . . . belongs on the bookshelf of every student of statistical physics” (Dr. Brian J. Albright, Applied Physics Division, Los Alamos National Laboratory). This book provides an accessible introduction to stochastic processes in physics and describes the basic mathematical tools of the trade: probability, random walks, and Wiener and Ornstein-Uhlenbeck processes. With an emphasis on applications, it includes end-of-chapter problems. Physicist and author Don S. Lemons builds on Paul Langevin’s seminal 1908 paper “On the Theory of Brownian Motion” and its explanations of classical uncertainty in natural phenomena. Following Langevin’s example, Lemons applies Newton’s second law to a “Brownian particle on which the total force included a random component.” This method builds on Newtonian dynamics and provides an accessible explanation to anyone approaching the subject for the first time. This volume contains the complete text of Paul Langevin’s “On the Theory of Brownian Motion,” translated by Anthony Gythiel.

Stochastic Processes in Quantum Physics

Masao Nagasawa
Stochastic Processes in Quantum Physics Book PDF

Author : Masao Nagasawa
Publisher : Birkhäuser
Page : 609 pages
File Size : 47,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034883832

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Stochastic Processes in Quantum Physics by Masao Nagasawa Pdf

From the reviews: "The text is almost self-contained and requires only an elementary knowledge of probability theory at the graduate level. The book under review is recommended to mathematicians, physicists and graduate students interested in mathematical physics and stochastic processes. Furthermore, some selected chapters can be used as sub-textbooks for advanced courses on stochastic processes, quantum theory and quantum chemistry." ZAA

Probability for Physicists

Simon Širca
Probability for Physicists Book PDF

Author : Simon Širca
Publisher : Springer
Page : 415 pages
File Size : 54,8 Mb
Release : 2016-05-20
Category : Science
ISBN : 9783319316116

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Probability for Physicists by Simon Širca Pdf

This book is designed as a practical and intuitive introduction to probability, statistics and random quantities for physicists. The book aims at getting to the main points by a clear, hands-on exposition supported by well-illustrated and worked-out examples. A strong focus on applications in physics and other natural sciences is maintained throughout. In addition to basic concepts of random variables, distributions, expected values and statistics, the book discusses the notions of entropy, Markov processes, and fundamentals of random number generation and Monte-Carlo methods.

Stochastic Processes in Physics and Chemistry

N. G. van Kampen
Stochastic Processes in Physics and Chemistry Book PDF

Author : N. G. van Kampen
Publisher : North Holland
Page : 444 pages
File Size : 46,5 Mb
Release : 1981
Category : Mathematics
ISBN : UOM:39015016057823

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Stochastic Processes in Physics and Chemistry by N. G. van Kampen Pdf

This new edition of Van Kampen's standard work has been completely revised and updated. Three major changes have also been made. The Langevin equation receives more attention in a separate chapter in which non-Gaussian and colored noise are introduced. Another additional chapter contains old and new material on first-passage times and related subjects which lay the foundation for the chapter on unstable systems. Finally a completely new chapter has been written on the quantum mechanical foundations of noise. The references have also been expanded and updated.

Introduction to Probability and Stochastic Processes with Applications

Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja
Introduction to Probability and Stochastic Processes with Applications Book PDF

Author : Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja
Publisher : John Wiley & Sons
Page : 741 pages
File Size : 44,7 Mb
Release : 2014-08-21
Category : Mathematics
ISBN : 9781118344965

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Introduction to Probability and Stochastic Processes with Applications by Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja Pdf

An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic techniques to accurately model these phenomena. The authors discuss a broad range of topics, from the basic concepts of probability to advanced topics for further study, including Itô integrals, martingales, and sigma algebras. Additional topical coverage includes: Distributions of discrete and continuous random variables frequently used in applications Random vectors, conditional probability, expectation, and multivariate normal distributions The laws of large numbers, limit theorems, and convergence of sequences of random variables Stochastic processes and related applications, particularly in queueing systems Financial mathematics, including pricing methods such as risk-neutral valuation and the Black-Scholes formula Extensive appendices containing a review of the requisite mathematics and tables of standard distributions for use in applications are provided, and plentiful exercises, problems, and solutions are found throughout. Also, a related website features additional exercises with solutions and supplementary material for classroom use. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level. The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their everyday work.

Probability Theory and Stochastic Processes

Pierre Brémaud
Probability Theory and Stochastic Processes Book PDF

Author : Pierre Brémaud
Publisher : Springer Nature
Page : 713 pages
File Size : 40,8 Mb
Release : 2020-04-07
Category : Mathematics
ISBN : 9783030401832

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Probability Theory and Stochastic Processes by Pierre Brémaud Pdf

The ultimate objective of this book is to present a panoramic view of the main stochastic processes which have an impact on applications, with complete proofs and exercises. Random processes play a central role in the applied sciences, including operations research, insurance, finance, biology, physics, computer and communications networks, and signal processing. In order to help the reader to reach a level of technical autonomy sufficient to understand the presented models, this book includes a reasonable dose of probability theory. On the other hand, the study of stochastic processes gives an opportunity to apply the main theoretical results of probability theory beyond classroom examples and in a non-trivial manner that makes this discipline look more attractive to the applications-oriented student. One can distinguish three parts of this book. The first four chapters are about probability theory, Chapters 5 to 8 concern random sequences, or discrete-time stochastic processes, and the rest of the book focuses on stochastic processes and point processes. There is sufficient modularity for the instructor or the self-teaching reader to design a course or a study program adapted to her/his specific needs. This book is in a large measure self-contained.

Stochastic Processes

Wolfgang Paul,Jörg Baschnagel
Stochastic Processes Book PDF

Author : Wolfgang Paul,Jörg Baschnagel
Publisher : Springer Science & Business Media
Page : 252 pages
File Size : 43,7 Mb
Release : 1999
Category : Business & Economics
ISBN : 3540665609

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Stochastic Processes by Wolfgang Paul,Jörg Baschnagel Pdf

The book is an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods and are taken from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.

Stochastic Processes

Wolfgang Paul,Jörg Baschnagel
Stochastic Processes Book PDF

Author : Wolfgang Paul,Jörg Baschnagel
Publisher : Springer Science & Business Media
Page : 288 pages
File Size : 47,7 Mb
Release : 2013-07-11
Category : Science
ISBN : 9783319003276

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Stochastic Processes by Wolfgang Paul,Jörg Baschnagel Pdf

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

Stochastic Processes for Physicists

Kurt Jacobs
Stochastic Processes for Physicists Book PDF

Author : Kurt Jacobs
Publisher : Unknown
Page : 204 pages
File Size : 46,8 Mb
Release : 2014-05-14
Category : Mathematics
ISBN : 0511677367

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Stochastic Processes for Physicists by Kurt Jacobs Pdf

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.

Random Processes in Physics and Finance

Melvin Lax,Wei Cai,Min Xu
Random Processes in Physics and Finance Book PDF

Author : Melvin Lax,Wei Cai,Min Xu
Publisher : OUP Oxford
Page : 342 pages
File Size : 55,8 Mb
Release : 2006-10-05
Category : Science
ISBN : 9780191513787

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Random Processes in Physics and Finance by Melvin Lax,Wei Cai,Min Xu Pdf

This text is aimed at professionals and students working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002), was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences, widely known for his contribution on random processes in physics. Most chapters of this book are the outcome of the class notes which Lax taught at the City University of New York from 1985 to 2001. The material is unique as it presents the theoretical framework of Lax's treatment of random processes, starting from basic probability theory, to Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanation of very narrow laser width and analytical solution of the elastic Boltzmann transport equation. Lax's critical viewpoint on mathematics currently used in the financial world is also presented in this book.

Stochastic World

Sergey S. Stepanov
Stochastic World Book PDF

Author : Sergey S. Stepanov
Publisher : Springer Science & Business Media
Page : 345 pages
File Size : 46,9 Mb
Release : 2013-06-19
Category : Mathematics
ISBN : 9783319000718

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Stochastic World by Sergey S. Stepanov Pdf

This book is an introduction into stochastic processes for physicists, biologists and financial analysts. Using an informal approach, all the necessary mathematical tools and techniques are covered, including the stochastic differential equations, mean values, probability distribution functions, stochastic integration and numerical modeling. Numerous examples of practical applications of the stochastic mathematics are considered in detail, ranging from physics to the financial theory. A reader with basic knowledge of the probability theory should have no difficulty in accessing the book content.

Stochastic Processes for Physicists

Anonim
Stochastic Processes for Physicists Book PDF

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 41,9 Mb
Release : 2010
Category : Electronic
ISBN : OCLC:729023590

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Stochastic Processes for Physicists by Anonim Pdf

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.

Functional Analysis for Probability and Stochastic Processes

Adam Bobrowski
Functional Analysis for Probability and Stochastic Processes Book PDF

Author : Adam Bobrowski
Publisher : Cambridge University Press
Page : 416 pages
File Size : 47,5 Mb
Release : 2005-08-11
Category : Mathematics
ISBN : 0521831660

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Functional Analysis for Probability and Stochastic Processes by Adam Bobrowski Pdf

This text presents selected areas of functional analysis that can facilitate an understanding of ideas in probability and stochastic processes. Topics covered include basic Hilbert and Banach spaces, weak topologies and Banach algebras, and the theory ofsemigroups of bounded linear operators.