### 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.

Language | English |
---|---|

Title of host publication | Complexity science |

Subtitle of host publication | an introduction |

Editors | M.A. Peletier, R.A. van Santen, E. Steur |

Publisher | World Scientific |

Pages | 183-198 |

Number of pages | 16 |

ISBN (Electronic) | 9789813239609 |

ISBN (Print) | 9789813239593 |

DOIs | |

State | Published - 20 Mar 2019 |

### Fingerprint

### Cite this

*Complexity science: an introduction*(pp. 183-198). World Scientific. DOI: 10.1142/9789813239609_0005

}

*Complexity science: an introduction.*World Scientific, pp. 183-198. DOI: 10.1142/9789813239609_0005

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

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

TY - CHAP

T1 - A primer on stochastic processes

AU - Peletier,Mark A.

PY - 2019/3/20

Y1 - 2019/3/20

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85068195154&partnerID=8YFLogxK

U2 - 10.1142/9789813239609_0005

DO - 10.1142/9789813239609_0005

M3 - Chapter

SN - 9789813239593

SP - 183

EP - 198

BT - Complexity science

PB - World Scientific

ER -