Theory and Applications of Stochastic Processes An Analytical Approa
This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences. Its aim is to make probability theory readily accessible to scientists trained in the traditional methods of applied mathematics, such
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Advisors J.K. Hale P. Holmes J. Keener J. Keller B.J. Matkowsky A. Mielke C.S. Peskin K.R. Sreenivasan
For further volumes: http://www.springer.com/series/34
Zeev Schuss
Theory and Applications of Stochastic Processes An Analytical Approach
Zeev Schuss Department of Applied Mathematics School of Mathematical Science Tel AAviv University 69 978 Tel Aviv Israel Editors: S.S. Antman Department of Mathematics and Institute for Physical Science and Technology University of Maryland College Park MD 20742-4015 USA [email protected]
J.E. Marsden Control and Dynamical Systems, 107-81 California Institute of Technology Pasadena, CA 91125 USA [email protected]
L. Sirovich Laboratory of Applied Mathematics Department of Biomathematical Sciences Mount Sinai School of Medicine New York, NY 10029-6574 USA [email protected]
ISSN 0066-5452 ISBN 978-1-4419-1604-4 e-ISBN 978-1-4419-1605-1 DOI 10.1007/978-1-4419-1605-1 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2009942425 Mathematics Subject Classification (2000): 60-01, 60J60, 60J65, 60J70, 60J75, 60J50, 60J35, 60J05, 60J25, 60J27, 58J37, 37H10, 60H10, 65C30, 60G40, 46N55, 47N55, 60F05, 60F10 © Springer Science+Business Media, LLC 2010 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights.
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Preface Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory, and many more. Many books, reviews, and research articles have been published on this topic, from the purely mathematical to the most practical. Some are listed below in alphabetical order, but a Web search reveals many more. • Mathematical theory of stochastic processes [14], [25], [46], [47], [53], [58], [57], [72], [76], [74], [82], [206], [42], [101], [106], [115], [116], [117], [150], [153], [161], [208], [234], [241] • Stochastic dynamics [5], [80], [84], [171], [193], [204], [213] • Numerical analysis of stochastic differential equations [207], [59], [132], [131], [103], [174], [206], [4] • Large deviations theory [32], [52], [54], [68], [77], [110], [55] • Statistical physics [38], [82], [100], [98], [99], [185], [206], [196], [242] • Electrical engineering [
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