A primer on stochastic processes

Research output: Chapter in Book/Report/Conference proceedingChapterAcademicpeer-review

5 Downloads (Pure)


In this chapter we give a short introduction to the concept of stochastic processes, evolution equations with random solutions. The best-known examples are random walks and stochastic differential equations, and we discuss examples of these and some of their properties, as well as methods for numerical simulation. We conclude with a brief introduction into metastability, the phenomenon that stochastic processes may have very different behaviour at different time scales.

Original languageEnglish
Title of host publicationComplexity science
Subtitle of host publicationan introduction
EditorsM.A. Peletier, R.A. van Santen, E. Steur
PublisherWorld Scientific
Number of pages16
ISBN (Electronic)9789813239609
ISBN (Print)9789813239593
Publication statusPublished - 20 Mar 2019


Cite this

Peletier, M. A. (2019). A primer on stochastic processes. In M. A. Peletier, R. A. van Santen, & E. Steur (Eds.), Complexity science: an introduction (pp. 183-198). World Scientific. https://doi.org/10.1142/9789813239609_0005