Stochastic methods. A handbook for the natural and social sciences
type: Item
instance of: scholarly article
title: Stochastic methods. A handbook for the natural and social sciences
zbMATH Open document ID: 1181.60001
published in: Springer Series in Synergetics
publication date: 2008-12-05T00:00:00Z
review text: Although originally conceived as a book for physicists, chemists and similar scientists, \textit{Stochastic Methods} has developed a readership with far more varied tastes, and this new edition is designed to cater better for the wider readership, as well as to those the author originally had in mind. This fourth edition of the classic text \textit{A Handbook of Stochastic Methods} has been significantly augmented, thoroughly revised, and restructured to accomodate the new material within a systematic logical framework. This new revised and augmented edition adheres the original aim: ``to make available in simple language and deductive form, the many formulae and methods that can be found in the literature on stochastic methods''. A new chapter on the applications of stochastic methods in finance provides an introduction to this field using the same simple kind of language as the other parts of the book. This chapter also includes an introduction to Lévy processes, which have found to be very useful in simulating financial systems where more accuracy is required than is available from simple Brownian motion models. New material is also provided on the Itô calculus and stochastic differential equations, on the approach to the white noise limit, on the applications of Poisson representation methods to population dynamics, and on several other applications of stochastic methods. The reviews on the previous editions can be found at: Zbl 1143.60001 (3rd ed., 2004), Zbl 0934.60003 (5th printing of the 2nd ed., 1998), Zbl 0713.60076 (2nd ed., 1985), Zbl 0515.60002 (1st ed., 1983).
Mathematics Subject Classification ID: 60-01
Mathematics Subject Classification ID: 60Hxx
Mathematics Subject Classification ID: 60Jxx
Mathematics Subject Classification ID: 82C31
Mathematics Subject Classification ID: 00A69
zbMATH DE Number: 5378317
zbMATH Keywords: Fokker-Planck equation
zbMATH Keywords: master equations
zbMATH Keywords: stochastic models in physics
zbMATH Keywords: quantum mechanical Markov processes
zbMATH Keywords: Itô calculus
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Lévy processes
author: Crispin W. Gardiner
reviewed by: Pavel Gapeev
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 5378317