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Table Of Contents

1.2.1 Einstein
1.2.2 Smolouchowski
1.2.3 Langevin
1.2.4 Ornstein and Uhlenbeck
1.3 Outline of the Book
1.4 Suggested References
Random processes
2.1 Random processes - Basic concepts
2.1.1 Moments of a Stochastic Process
2.2 Stationarity and the Ergodic Theorem
2.3 Spectral Density and Correlation Func-
2.3.1 Linear Systems
2.3.2 Fluctuation-Dissipation Relation
2.3.3 Johnson and Nyquist
Markov processes
3.1 Classification of Stochastic Processes
3.2 Chapman-Kolmogorov Equation
3.3 Master Equation
3.4 Stosszhalansatz
3.5 Example – One-step processes
3.6 Example – Bernoulli’s Urns and Recur-
3.7 Example – Chemical Kinetics
4.1 Exact Solutions
4.1.1 Moment Generating Functions
4.1.2 Matrix Iteration
4.2 Approximation Methods
4.2.1 Numerical Methods – Gillespie’s Algorithm
5.1 Linear Noise Approximation (LNA)
5.1.1 Example – Nonlinear synthesis
5.1.2 Approximation of the Brusselator model
5.2 Example – ‘Burstiness’ in Protein Syn-
5.3 Limitations of the LNA
Fokker-Planck Equation
6.1 Kolmogorov Equation
6.2 Derivation of the Fokker-Planck Equa-
6.3 Macroscopic Equation
6.3.1 Coefficients of the Fokker-Planck Equation
6.4 Pure Diffusion and Ornstein-Uhlenbeck
6.4.1 Wiener process
6.4.2 Ornstein-Uhlenbeck process
6.4.3 Heuristic Picture of the Fokker-Planck Equa- tion
6.5 Connection to Langevin Equation
6.5.1 Linear Damping
6.5.2 Nonlinear Damping
6.7 Example – Kramer’s Escape Problem
Stochastic Analysis
7.1 Limits
7.2 Mean-square Continuity
7.3 Stochastic Differentiation
7.3.1 Wiener process is not differentiable
7.4 Stochastic Integration
7.4.1 Itˆo and Stratonovich Integration
Random Differential Equations
8.1 Numerical Simulation
8.2 Approximation Methods
8.2.1 Static Averaging
8.2.2 Bourret’s Approximation
8.2.3 Cumulant Expansion
8.3 Example – Random Harmonic Oscilla-
8.4 Example – Parametric Resonance
8.5 Optional – Stochastic Delay Differential
Macroscopic Effects of Noise
9.1 Keizer’s Paradox
9.2 Oscillations from Underdamped Dynam-
9.2.1 Example – Malthus Predator-Prey Dynamics
9.3 Effective Stability Analysis (ESA)
9.3.1 Example – Excitable Oscillator
Spatially varying systems
10.1 Deterministic pattern formation
10.1.1 Turing-type instabilities
10.1.2 Differential flow instabilities
10.1.3 Other mechanisms
Reaction-transport master equation
10.2.1 Diffusion as stochastic transport
10.2.2 Combining reaction and transport
10.2.3 LNA for spatial systems
10.2.4 Example – Homogeneous steady-state
10.2.5 Example – Spatially-varying steady-state
10.3 External noise: Stochastic PDEs
Special Topics
11.1 Random Walks and Electric Networks
11.2 Fluctuations Along a Limit Cycle
11.3 Stochastic Resonance
11.4 Kalman Filter
11.5 Novikov-Furutsu-Donsker Relation
11.5.1 Variational Approximation
Review of Classical Probability
A.1 Statistics of a Random Variable
A.2 Examples of Distributions and Densi-
A.3 Central limit theorem
A.4 Generating Random Numbers
A.4.1 Joint inversion generating method
A.5 Change of Variables
A.6 Monte-Carlo simulation
A.7 Bertrand’s Paradox
B.1 Matrix Algebra and Time-Ordered Ex-
B.2 Linear Stability Analysis
B.2.1 Routh-Hurwitz Criterion
B.3 Transforms Methods
B.3.1 Laplace Transform
B.3.2 Fourier Transform
B.3.3 z-Transform
B.4 Partial differential equations
B.4.1 Method of characteristics
B.4.2 Separation of variables
B.4.3 Transform methods
B.5.1 Cauchy-Schwarz Inequality
B.5.2 Watson’s Lemma
C.2 Change of Variables Formula
C.2.1 Example – Calculate cos[η(t)]
Sample Matlab code
D.1 Examples of Gillespie’s direct method
D.1.2 Core stochastic simulation algorithm
D.1.3 Example - the Brusselator
D.2 Stochastic differential equations
D.2.1 White noise
D.2.2 Coloured noise
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Notes on Stochastics

Notes on Stochastics

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Published by: Ayodele Emmanuel Sonuga on Mar 27, 2011
Copyright:Attribution Non-commercial


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