A primer on stochastic processes

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

Abstract

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.

LanguageEnglish
Title of host publicationComplexity science
Subtitle of host publicationan introduction
EditorsM.A. Peletier, R.A. van Santen, E. Steur
PublisherWorld Scientific
Pages183-198
Number of pages16
ISBN (Electronic)9789813239609
ISBN (Print)9789813239593
DOIs
StatePublished - 20 Mar 2019

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Stochastic Processes
Metastability
Evolution Equation
Stochastic Equations
Random walk
Time Scales
Differential equation
Numerical Simulation
Concepts

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. DOI: 10.1142/9789813239609_0005
Peletier, Mark A./ A primer on stochastic processes. Complexity science: an introduction. editor / M.A. Peletier ; R.A. van Santen ; E. Steur. World Scientific, 2019. pp. 183-198
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Peletier, MA 2019, A primer on stochastic processes. in MA Peletier, RA van Santen & E Steur (eds), Complexity science: an introduction. World Scientific, pp. 183-198. DOI: 10.1142/9789813239609_0005

A primer on stochastic processes. / Peletier, Mark A.

Complexity science: an introduction. ed. / M.A. Peletier; R.A. van Santen; E. Steur. World Scientific, 2019. p. 183-198.

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

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Peletier MA. A primer on stochastic processes. In Peletier MA, van Santen RA, Steur E, editors, Complexity science: an introduction. World Scientific. 2019. p. 183-198. Available from, DOI: 10.1142/9789813239609_0005