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1.1 Introduction
1.2 Historical Overview
1.3 The One-Dimensional Random Walk
1.4 Stochastic Modeling of Deterministic Chaos
1.5 Why Randomness
1.6 Discussion and Bibliography
1.7 Exercises
2.1 Introduction
2.2 Basic Deﬁnitions from Probability Theory
2.2.1 Conditional Probability
2.3 Random Variables
2.3.1 Expectation of Random Variables
2.4 Conditional Expecation
2.5 The Characteristic Function
2.6 Gaussian Random Variables
2.7 Types of Convergence and Limit Theorems
2.8 Discussion and Bibliography
2.9 Exercises
Basics of the Theory of Stochastic Processes
3.1 Introduction
3.2 Deﬁnition of a Stochastic Process
3.3 Stationary Processes
3.3.1 Strictly Stationary Processes
3.3.2 Second Order Stationary Processes
3.3.3 Ergodic Properties of Second-Order Stationary Processes
3.4 Brownian Motion
3.5 Other Examples of Stochastic Processes
3.5.1 Brownian Bridge
3.5.2 Fractional Brownian Motion
3.5.3 The Poisson Process
3.6 The Karhunen-Lo´eve Expansion
3.8 Exercises
Markov Processes
4.1 Introduction
4.2 Examples
4.3 Deﬁnition of a Markov Process
4.4 The Chapman-Kolmogorov Equation
4.5 The Generator of a Markov Processes
4.6 Ergodic Markov processes
4.6.1 Stationary Markov Processes
4.7 Discussion and Bibliography
4.8 Exercises
Diffusion Processes
5.1 Introduction
5.2 Deﬁnition of a Diffusion Process
5.3 The Backward and Forward Kolmogorov Equations
5.3.1 The Backward Kolmogorov Equation
5.3.2 The Forward Kolmogorov Equation
5.4 Multidimensional Diffusion Processes
5.5 Connection with Stochastic Differential Equations
5.6 Examples of Diffusion Processes
5.7 Discussion and Bibliography
5.8 Exercises
The Fokker-Planck Equation
6.1 Introduction
6.2 Basic Properties of the FP Equation
6.2.1 Existence and Uniqueness of Solutions
6.2.2 The FP equation as a conservation law
6.2.3 Boundary conditions for the Fokker–Planck equation
6.3 Examples of Diffusion Processes
6.3.1 Brownian Motion
6.3.2 The Ornstein-Uhlenbeck Process
6.3.3 The Geometric Brownian Motion
6.4 The Ornstein-Uhlenbeck Process and Hermite Polynomials
6.5 Reversible Diffusions
6.5.1 Markov Chain Monte Carlo (MCMC)
6.6 Perturbations of non-Reversible Diffusions
6.7 Eigenfunction Expansions
6.7.1 Reduction to a Schr¨odinger Equation
6.8 Discussion and Bibliography
6.9 Exercises
Stochastic Differential Equations
7.1 Introduction
7.2 The Itˆo and Stratonovich Stochastic Integral
7.2.1 The Stratonovich Stochastic Integral
7.3 Stochastic Differential Equations
7.3.1 Examples of SDEs
7.4 The Generator, Itˆo’s formula and the Fokker-Planck Equa- tion
7.4.1 The Generator
7.4.2 Itˆo’s Formula
7.5 Linear SDEs
7.6 Derivation of the Stratonovich SDE
7.6.1 Itˆo versus Stratonovich
7.7 Numerical Solution of SDEs
7.8 Parameter Estimation for SDEs
7.9 Noise Induced Transitions
7.10 Discussion and Bibliography
7.11 Exercises
The Langevin Equation
8.1 Introduction
8.3 The Langevin Equation in a Harmonic Potential
8.4 Asymptotic Limits for the Langevin Equation
8.4.1 The Overdamped Limit
8.4.2 The Underdamped Limit
8.5 Brownian Motion in Periodic Potentials
8.5.1 The Langevin equation in a periodic potential
8.5.2 Equivalence With the Green-Kubo Formula
8.6 The Underdamped and Overdamped Limits of the Diffu- sion Coefﬁcient
8.6.1 Brownian Motion in a Tilted Periodic Potential
8.7 Numerical Solution of the Klein-Kramers Equation
8.8 Discussion and Bibliography
8.9 Exercises
Exit Time Problems
9.1 Introduction
9.2 Brownian Motion in a Bistable Potential
9.3 The Mean First Passage Time
9.3.1 The Boundary Value Problem for the MFPT
9.3.2 Examples
9.4 Escape from a Potential Barrier
9.4.1 Calculation of the Reaction Rate in the Overdamped Regime
9.4.2 The Intermediate Regime: γ = O(1)
9.5 Discussion and Bibliography
9.6 Exercises
Stochastic Resonance and Brownian Motors
10.1 Introduction
10.2 Stochastic Resonance
10.3 Brownian Motors
10.4 Introduction
10.5 The Model
10.6 Multiscale Analysis
10.6.1 Calculation of the Effective Drift
10.6.2 Calculation of the Effective Diffusion Coefﬁcient
10.7 Effective Diffusion Coefﬁcient for Correlation Ratchets
10.8 Discussion and Bibliography
10.9 Exercises
Stochastic Processes and Statistical Mechanics
11.1 Introduction
11.2 The Kac-Zwanzig Model
11.3 Quasi-Markovian Stochastic Processes
11.3.1 Open Classical Systems
11.4 The Mori-Zwanzig Formalism
11.5 Derivation of the Fokker-Planck and Langevin Equations
11.6 Linear Response Theory
11.7 Discussion and Bibliography
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Stochasitc Process and Applications by GA Pavliotis

Stochasitc Process and Applications by GA Pavliotis

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11/15/2012

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