Stochastic tools in mathematics and science Alexandre J. Chorin, Ole H. Hald

Format:

Book

Author/Creator:

Chorin, Alexandre Joel

Contributor:

Hald, Ole H.

Series:

Texts in applied mathematics 58

Texts in applied mathematics 0939-2475 58

Language:

English

Subjects (All):

Stochastic processes.

Probabilities.

probability.

Physical Description:

1 online resource

Edition:

3rd ed.

Place of Publication:

New York, NY Springer ©2013

Language Note:

English

System Details:

text file

PDF

Summary:

"Stochastic Tools in Mathematics and Science" covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. The topics covered include conditional expectations, stochastic processes, Brownian motion and its relation to partial differential equations, Langevin equations, the Liouville and Fokker-Planck equations, as well as Markov chain Monte Carlo algorithms, renormalization, basic statistical mechanics, and generalized Langevin equations and the Mori-Zwanzig formalism. The applications include sampling algorithms, data assimilation, prediction from partial data, spectral analysis, and turbulence. The book is based on lecture notes from a class that has attracted graduate and advanced undergraduate students from mathematics and from many other science departments at the University of California, Berkeley. Each chapter is followed by exercises. The book will be useful for scientists and engineers working in a wide range of fields and applications. For this new edition the material has been thoroughly reorganized and updated, and new sections on scaling, sampling, filtering and data assimilation, based on recent research, have been added. There are additional figures and exercises. Review of earlier edition: "This is an excellent concise textbook which can be used for self-study by graduate and advanced undergraduate students and as a recommended textbook for an introductory course on probabilistic tools in science." Mathematical Reviews, 2006

Contents:

Preliminaries Introduction to Probability Computing with Probability Brownian Motion with Applications Time-Varying Probabilities Stationary Stochastic Processes Statistical Mechanics Computational Statistical Mechanics Generalized Langevin Equations

Notes:

Includes bibliographical references and index

Other Format:

Printed edition:

ISBN:

9781461469803

1461469805

1461469791

9781461469797

9781461469810

1461469813

9781489992659

1489992650

OCLC:

843881584

Access Restriction:

Restricted for use by site license