A primer on stochastic processes

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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.

Originele taal-2Engels
TitelComplexity science
Subtitelan introduction
RedacteurenM.A. Peletier, R.A. van Santen, E. Steur
UitgeverijWorld Scientific
Pagina's183-198
Aantal pagina's16
ISBN van elektronische versie9789813239609
ISBN van geprinte versie9789813239593
DOI's
StatusGepubliceerd - 20 mrt 2019

Vingerafdruk

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

Citeer dit

Peletier, M. A. (2019). A primer on stochastic processes. In M. A. Peletier, R. A. van Santen, & E. Steur (editors), Complexity science: an introduction (blz. 183-198). World Scientific. https://doi.org/10.1142/9789813239609_0005
Peletier, Mark A. / A primer on stochastic processes. Complexity science: an introduction. redacteur / M.A. Peletier ; R.A. van Santen ; E. Steur. World Scientific, 2019. blz. 183-198
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Peletier, MA 2019, A primer on stochastic processes. in MA Peletier, RA van Santen & E Steur (redactie), Complexity science: an introduction. World Scientific, blz. 183-198. https://doi.org/10.1142/9789813239609_0005

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

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

Onderzoeksoutput: Hoofdstuk in Boek/Rapport/CongresprocedureHoofdstukAcademicpeer review

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Peletier MA. A primer on stochastic processes. In Peletier MA, van Santen RA, Steur E, redacteurs, Complexity science: an introduction. World Scientific. 2019. blz. 183-198 https://doi.org/10.1142/9789813239609_0005