A primer on stochastic processes

Mark A. Peletier

doi:10.1142/9789813239609_0005

A primer on stochastic processes

Mark A. Peletier

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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.

Original 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	https://doi.org/10.1142/9789813239609_0005
Publication status	Published - 20 Mar 2019

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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.

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A primer on stochastic processes

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