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  3. Stochastic Processes for Physicists
  • Cited by 158
Publisher:
Cambridge University Press
Online publication date:
June 2012
Print publication year:
2010
Online ISBN:
9780511815980
DOI:
https://doi.org/10.1017/CBO9780511815980
Subjects:
Physics and Astronomy, Statistics for Physical Sciences and Engineering, Theoretical Physics and Mathematical Physics, Statistics and Probability
Information

Book description

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.

Reviews

'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.'

Cosma Shalizi Source: Physics Today

'I think this book is a very nice introduction to the subject of stochastic processes.'

Source: Zentralblatt MATH

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