Stochastic equations through the eye of the physicist
Subtitle: basic concepts, exact results and asymptotic approximations
By: V.I Klyatskin
Edition: 1st ed.
Publisher: Elsevier
Published: 2005
Place of publication: Amsterdam; Boston
Language: eng
Format: [electronic resource] :
Number of pages: 538
ISBN-13: 9780080457642
Subjects: Stochastic processes; General; Probability & Statistics; Mathematical physics; MATHEMATICS; Analyse stochastique; Stochastic analysis; Physique mathématique; Processus stochastiques
Description: Divided into five parts, part I of this book gives mathematical formulation for the physical models of transport, diffusion, propagation. Parts II and III set up and apply the techniques of variational calculus and stochastic analysis. Part IV takes up issues for the coherent phenomena in stochastic dynamical systems. Part V contains appendixes.
Notes: Includes bibliographical references (p. 513-534) and index.

Description based on print version record.
Table of contents: title: Preliminaries; Preface; Contents; Introduction; 1 Examples basic problems peculiar features of solutions; 2 Indicator function and Liouville Equation; 3 Random quantities processes and fields; 4 Correlation splitting; 5 General approaches to analyzing stochastic dynamic systems; 6 Stochastic equations with the Markovian fluctuations of parameters; 7 Gaussian random field delta correlated in time ordinary differential equations; 8 Methods for solving and analyzing the Fokker Planck equation; 9 Gaussian delta correlated random field causal integral equations; 10 Diffusion approximation