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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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05/30/2013

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