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  • Textbook
  • © 2009

Stochastic Methods

A Handbook for the Natural and Social Sciences


  • The leading reference text in the field for many years and continuously updated and expanded.

  • Features new sections and chapters on quantitative finance, adiabatic elimination and simulation methods.

  • Rewritten in many places for better clarity and more in-depth mathematical exposition

  • Includes supplementary material:

Part of the book series: Springer Series in Synergetics (SSSYN, volume 13)

Buying options

Softcover Book USD 109.99
Price excludes VAT (USA)
Hardcover Book USD 109.99
Price excludes VAT (USA)

About this book

This fourth edition of Stochastic Methods is thoroughly revised and augmented, and has been completely reset. While keeping to the spirit of the book I wrote originally, I have reorganised the chapters of Fokker-Planck equations and those on appr- imation methods, and introduced new material on the white noise limit of driven stochastic systems, and on applications and validity of simulation methods based on the Poisson representation. Further, in response to the revolution in ?nancial m- kets following from the discovery by Fischer Black and Myron Scholes of a reliable option pricing formula, I have written a chapter on the application of stochastic me- ods to ?nancial markets. In doing this, I have not restricted myself to the geometric Brownian motion model, but have also attempted to give some ?avour of the kinds of methods used to take account of the realities of ?nancial markets. This means that I have also given a treatment of Levy ´ processes and their applications to ?nance, since these are central to most current thinking. Since this book was written the rigorous mathematical formulation of stochastic processes has developed considerably, most particularly towards greater precision and generality, and this has been re?ected in the way the subject is presented in m- ern applications, particularly in ?nance.


  • Brownian motion
  • Excel
  • Fokker-Planck equation
  • Lévy process
  • Markov process
  • diffusion process
  • electronics
  • jump process
  • master equation


From the reviews of the fourth edition:

“This is the fourth edition of a textbook intended for everyone interested in practising stochastic processes. … this fourth one is ‘thoroughly revised and augmented, and has been completely reset. … this new edition is designed to cater better for the wider readership as well as to those [he] originally had in mind’. … The bibliography is well presented, with a list of the references cited in each chapter, a commented global bibliography and an author index.” (Yves Elskens, Belgian Physical Society Magazine, Issue 2, 2012)

Authors and Affiliations

  • University of Otago Physics Department, Dunedin, New Zealand

    Crispin Gardiner

Bibliographic Information

Buying options

Softcover Book USD 109.99
Price excludes VAT (USA)
Hardcover Book USD 109.99
Price excludes VAT (USA)