Physics of Stochastic Processes

DOI10.1002/9783527626090zbMath1234.60002OpenAlexW2491272727MaRDI QIDQ5191186

Reinhard Mahnke, J. Kaupužs, I. A. Lubashevskii

Publication date: 29 July 2009

Full work available at URL: https://doi.org/10.1002/9783527626090

zbMATH Keywords

noisediffusionstochastic differential equationFokker-Planck equationBrownian motionphase transitionMarkov processOrnstein-Uhlenbeck processnucleationmaster equationIto formulaKolmogorov equationvehicular traffic

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Boundary theory for Markov processes (60J50) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to classical thermodynamics (80-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistical mechanics (82-01)

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