Probability And Stochastic Processes For Physicists

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Probability and Stochastic Processes for Physicists

Author : Nicola Cufaro Petroni
Publisher : Springer Nature
ISBN 13 : 3030484084
Total Pages : 372 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Probability and Stochastic Processes for Physicists by : Nicola Cufaro Petroni

Download or read book Probability and Stochastic Processes for Physicists written by Nicola Cufaro Petroni and published by Springer Nature. This book was released on 2020-06-25 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : Kurt Jacobs
Publisher : Cambridge University Press
ISBN 13 : 1139486799
Total Pages : 203 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Stochastic Processes for Physicists by : Kurt Jacobs

Download or read book Stochastic Processes for Physicists written by Kurt Jacobs and published by Cambridge University Press. This book was released on 2010-02-18 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : Don S. Lemons
Publisher : Johns Hopkins University Press+ORM
ISBN 13 : 0801876389
Total Pages : 165 pages
Book Rating : 4.8/5 (18 download)

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Book Synopsis An Introduction to Stochastic Processes in Physics by : Don S. Lemons

Download or read book An Introduction to Stochastic Processes in Physics written by Don S. Lemons and published by Johns Hopkins University Press+ORM. This book was released on 2003-04-29 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Probability for Physicists

Author : Simon Širca
Publisher : Springer
ISBN 13 : 3319316117
Total Pages : 415 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Probability for Physicists by : Simon Širca

Download or read book Probability for Physicists written by Simon Širca and published by Springer. This book was released on 2016-05-20 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Probability Theory and Stochastic Processes

Author : Pierre Brémaud
Publisher : Springer Nature
ISBN 13 : 3030401839
Total Pages : 713 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Probability Theory and Stochastic Processes by : Pierre Brémaud

Download or read book Probability Theory and Stochastic Processes written by Pierre Brémaud and published by Springer Nature. This book was released on 2020-04-07 with total page 713 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Introduction to Probability and Stochastic Processes with Applications

Author : Liliana Blanco Castañeda
Publisher : John Wiley & Sons
ISBN 13 : 1118344960
Total Pages : 741 pages
Book Rating : 4.1/5 (183 download)

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Book Synopsis Introduction to Probability and Stochastic Processes with Applications by : Liliana Blanco Castañeda

Download or read book Introduction to Probability and Stochastic Processes with Applications written by Liliana Blanco Castañeda and published by John Wiley & Sons. This book was released on 2014-08-21 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Processes

Author : Wolfgang Paul
Publisher : Springer Science & Business Media
ISBN 13 : 3319003275
Total Pages : 288 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Stochastic Processes by : Wolfgang Paul

Download or read book Stochastic Processes written by Wolfgang Paul and published by Springer Science & Business Media. This book was released on 2013-07-11 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Probability and Stochastic Processes for Engineers

Author : Carl W. Helstrom
Publisher : MacMillan Publishing Company
ISBN 13 :
Total Pages : 634 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Probability and Stochastic Processes for Engineers by : Carl W. Helstrom

Download or read book Probability and Stochastic Processes for Engineers written by Carl W. Helstrom and published by MacMillan Publishing Company. This book was released on 1991 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Processes in Physics and Chemistry

Author : N.G. Van Kampen
Publisher : Elsevier
ISBN 13 : 0080571387
Total Pages : 482 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Stochastic Processes in Physics and Chemistry by : N.G. Van Kampen

Download or read book Stochastic Processes in Physics and Chemistry written by N.G. Van Kampen and published by Elsevier. This book was released on 1992-11-20 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Probability and Stochastic Processes

Author : Roy D. Yates
Publisher : John Wiley & Sons
ISBN 13 : 1118324560
Total Pages : 514 pages
Book Rating : 4.1/5 (183 download)

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Book Synopsis Probability and Stochastic Processes by : Roy D. Yates

Download or read book Probability and Stochastic Processes written by Roy D. Yates and published by John Wiley & Sons. This book was released on 2014-01-28 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text introduces engineering students to probability theory and stochastic processes. Along with thorough mathematical development of the subject, the book presents intuitive explanations of key points in order to give students the insights they need to apply math to practical engineering problems. The first seven chapters contain the core material that is essential to any introductory course. In one-semester undergraduate courses, instructors can select material from the remaining chapters to meet their individual goals. Graduate courses can cover all chapters in one semester.

Introduction To Stochastic Processes

Author : Mu-fa Chen
Publisher : World Scientific
ISBN 13 : 9814740322
Total Pages : 245 pages
Book Rating : 4.8/5 (147 download)

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Book Synopsis Introduction To Stochastic Processes by : Mu-fa Chen

Download or read book Introduction To Stochastic Processes written by Mu-fa Chen and published by World Scientific. This book was released on 2021-05-25 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts — Markov chains and stochastic analysis. The readers are led directly to the core of the main topics to be treated in the context. Further details and additional materials are left to a section containing abundant exercises for further reading and studying.In the part on Markov chains, the focus is on the ergodicity. By using the minimal nonnegative solution method, we deal with the recurrence and various types of ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The methods of proofs adopt modern techniques, such as coupling and duality methods. Some very new results are included, such as the estimate of the spectral gap. The structure and proofs in the first part are rather different from other existing textbooks on Markov chains.In the part on stochastic analysis, we cover the martingale theory and Brownian motions, the stochastic integral and stochastic differential equations with emphasis on one dimension, and the multidimensional stochastic integral and stochastic equation based on semimartingales. We introduce three important topics here: the Feynman-Kac formula, random time transform and Girsanov transform. As an essential application of the probability theory in classical mathematics, we also deal with the famous Brunn-Minkowski inequality in convex geometry.This book also features modern probability theory that is used in different fields, such as MCMC, or even deterministic areas: convex geometry and number theory. It provides a new and direct routine for students going through the classical Markov chains to the modern stochastic analysis.

Stochastic Processes in Quantum Physics

Author : Masao Nagasawa
Publisher : Birkhäuser
ISBN 13 : 3034883838
Total Pages : 609 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Stochastic Processes in Quantum Physics by : Masao Nagasawa

Download or read book Stochastic Processes in Quantum Physics written by Masao Nagasawa and published by Birkhäuser. This book was released on 2012-12-06 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Theory of Probability and Random Processes

Author : Leonid Koralov
Publisher : Springer Science & Business Media
ISBN 13 : 3540688293
Total Pages : 346 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Theory of Probability and Random Processes by : Leonid Koralov

Download or read book Theory of Probability and Random Processes written by Leonid Koralov and published by Springer Science & Business Media. This book was released on 2007-08-10 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate and graduate students, forms the core of this book. It provides a comprehensive and self-contained exposition of classical probability theory and the theory of random processes. The book includes detailed discussion of Lebesgue integration, Markov chains, random walks, laws of large numbers, limit theorems, and their relation to Renormalization Group theory. It also includes the theory of stationary random processes, martingales, generalized random processes, and Brownian motion.

Random Processes in Physics and Finance

Author : Melvin Lax
Publisher : OUP Oxford
ISBN 13 : 0191513784
Total Pages : 342 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis Random Processes in Physics and Finance by : Melvin Lax

Download or read book Random Processes in Physics and Finance written by Melvin Lax and published by OUP Oxford. This book was released on 2006-10-05 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Processes in Physics and Chemistry

Author : N. G. van Kampen
Publisher : North Holland
ISBN 13 :
Total Pages : 442 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Stochastic Processes in Physics and Chemistry by : N. G. van Kampen

Download or read book Stochastic Processes in Physics and Chemistry written by N. G. van Kampen and published by North Holland. This book was released on 1981 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Probability and Stochastics

Author : Erhan Çınlar
Publisher : Springer Science & Business Media
ISBN 13 : 0387878599
Total Pages : 558 pages
Book Rating : 4.3/5 (878 download)

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Book Synopsis Probability and Stochastics by : Erhan Çınlar

Download or read book Probability and Stochastics written by Erhan Çınlar and published by Springer Science & Business Media. This book was released on 2011-02-21 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is an introduction to the modern theory and applications of probability and stochastics. The style and coverage is geared towards the theory of stochastic processes, but with some attention to the applications. In many instances the gist of the problem is introduced in practical, everyday language and then is made precise in mathematical form. The first four chapters are on probability theory: measure and integration, probability spaces, conditional expectations, and the classical limit theorems. There follows chapters on martingales, Poisson random measures, Levy Processes, Brownian motion, and Markov Processes. Special attention is paid to Poisson random measures and their roles in regulating the excursions of Brownian motion and the jumps of Levy and Markov processes. Each chapter has a large number of varied examples and exercises. The book is based on the author’s lecture notes in courses offered over the years at Princeton University. These courses attracted graduate students from engineering, economics, physics, computer sciences, and mathematics. Erhan Cinlar has received many awards for excellence in teaching, including the President’s Award for Distinguished Teaching at Princeton University. His research interests include theories of Markov processes, point processes, stochastic calculus, and stochastic flows. The book is full of insights and observations that only a lifetime researcher in probability can have, all told in a lucid yet precise style.

Applied Probability and Stochastic Processes

Author : Michel K. Ochi
Publisher : Wiley-Interscience
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Applied Probability and Stochastic Processes by : Michel K. Ochi

Download or read book Applied Probability and Stochastic Processes written by Michel K. Ochi and published by Wiley-Interscience. This book was released on 1990-01-25 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to modern concepts of applied stochastic processes is written for a broad range of applications in diverse areas of engineering and the physical sciences (unlike other books, which are written primarily for communications or electrical engineering). Emphasis is on clarifying the basic principles supporting current prediction techniques. The first eight chapters present the probability theory relevant to analysis of stochastic processes. The following nine chapters discuss principles, advanced techniques (including the procedures of spectral analysis and the development of the probability density function) and applications. Also features material found in the recent literature such as higher-order spectral analysis, the joint probability distribution of amplitudes and periods and non-Gaussian random processes. Includes numerous illustrative examples.