A primer on stochastic processes

Onderzoeksoutput: Hoofdstuk in Boek/Rapport/CongresprocedureHoofdstukAcademicpeer review

Uittreksel

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.

TaalEngels
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. DOI: 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. DOI: 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. Beschikbaar vanaf, DOI: 10.1142/9789813239609_0005