Stochastic Tools in Mathematics and Science

  • Alexandre J. Chorin
  • Ole H Hald

Part of the Texts in Applied Mathematics book series (TAM, volume 58)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Alexandre J. Chorin, Ole H. Hald
    Pages 1-23
  3. Alexandre J. Chorin, Ole H. Hald
    Pages 25-45
  4. Alexandre J. Chorin, Ole H. Hald
    Pages 47-62
  5. Alexandre J. Chorin, Ole H. Hald
    Pages 63-88
  6. Alexandre J. Chorin, Ole H. Hald
    Pages 89-107
  7. Alexandre J. Chorin, Ole H. Hald
    Pages 109-132
  8. Alexandre J. Chorin, Ole H. Hald
    Pages 133-155
  9. Alexandre J. Chorin, Ole H. Hald
    Pages 157-170
  10. Alexandre J. Chorin, Ole H. Hald
    Pages 171-198
  11. Alexandre J. Chorin, Ole H. Hald
    Pages E1-E1
  12. Back Matter
    Pages 199-200

About this book

Introduction

"Stochastic Tools in Mathematics and Science" covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. The topics covered include conditional expectations, stochastic processes, Brownian motion and its relation to partial differential equations, Langevin equations, the Liouville and Fokker-Planck equations, as well as Markov chain Monte Carlo algorithms, renormalization, basic statistical mechanics, and generalized Langevin equations and the Mori-Zwanzig formalism. The applications include sampling algorithms, data assimilation, prediction from partial data, spectral analysis, and turbulence.

 

The book is based on lecture notes from a class that has attracted graduate and advanced undergraduate students from mathematics and from many other science departments at the University of California, Berkeley. Each chapter is followed by exercises. The book will be useful for scientists and engineers working in a wide range of fields and applications.

 

For this new edition the material has been thoroughly reorganized and updated, and new sections on scaling, sampling, filtering and data assimilation, based on recent research, have been added. There are additional figures and exercises.

 

Review of earlier edition:

 

"This is an excellent concise textbook which can be used for self-study by graduate and advanced undergraduate students and as a recommended textbook for an introductory course on probabilistic tools in science."

Mathematical Reviews, 2006

 

Keywords

Brownian Motion Least Squares Approximation Monte Carlo Methods Stationary Stochastic Processes Statistical Mechanics Time-Dependent Statistical Mechanics

Authors and affiliations

  • Alexandre J. Chorin
    • 1
  • Ole H Hald
    • 2
  1. 1.University of California, Berkeley Dept. MathematicsBerkeleyUSA
  2. 2.Department of Mathematics University of California at BerkeleyBerkeleyUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-6980-3
  • Copyright Information Springer Science+Business Media, LLC 2013
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-6979-7
  • Online ISBN 978-1-4614-6980-3
  • Series Print ISSN 0939-2475
  • Series Online ISSN 2196-9949
  • About this book