# Dynamics of Stochastic Systems

## 1st Edition

**Print ISBN:**9780444517968

**eBook ISBN:**9780080504858

**Imprint:**Elsevier Science

**Published Date:**17th March 2005

**Page Count:**212

## Description

Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''oil slicks''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.

Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.

The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data.

This raises a host of challenging mathematical issues. One could rarely solve such systems exactly (or approximately) in a closed analytic form, and their solutions depend in a complicated implicit manner on the initial-boundary data, forcing and system's (media) parameters . In mathematical terms such solution becomes a complicated "nonlinear functional" of random fields and processes.

Part I gives mathematical formulation for the basic physical models of transport, diffusion, propagation and develops some analytic tools.

Part II sets up and applies the techniques of variational calculus and stochastic analysis, like Fokker-Plank equation to those models, to produce exact or approximate solutions, or in worst case numeric procedures. The exposition is motivated and demonstrated with numerous examp

## Key Features

· This book is translation from Russian and is completed with new principal results of recent research. · The book develops mathematical tools of stochastic analysis, and applies them to a wide range of physical models of particles, fluids, and waves. · Accessible to a broad audience with general background in mathematical physics, but no special expertise in stochastic analysis, wave propagation or turbulence

## Readership

Researchers in physics (fluid dynamics, optics, acoustics, radiophysics), geosciences (ocean, atmosphere physics), applied mathematics (stochastic equations), applications (coherent phenomena). Senior and postgraduate students in different areas of physics, engineering and applied mathematics.

## Table of Contents

- Preface
- Introduction
- Part I: Dynamical description of stochastic systems
- Chapter 1: Examples, basic problems, peculiar features of solutions
- 1.1 Ordinary differential equations: initial value problems
- 1.2 Boundary-value problems for linear ordinary differential equations (plane waves in layered media)
- 1.3 Partial differential equations
- Chapter 2: Solution dependence on problem type, medium parameters, and initial data
- 2.1 Functional representation of problem solution
- 2.2 Solution dependence on problem’s parameters
- Part II: Statistical description of stochastic systems
- Chapter 3: Indicator function and Liouville equation
- 3.1 Ordinary differential equations
- 3.2 First-order partial differential equations
- 3.3 Higher-order partial differential equations
- Chapter 4: Random quantities, processes and fields
- 4.1 Random quantities and their characteristics
- 4.2 Random processes, fields, and their characteristics
- 4.3 Markovian processes
- Problems
- Chapter 5: Correlation splitting
- 5.1 General remarks
- 5.2 Gaussian process
- 5.3 Poisson process
- 5.4 Telegrapher’s random process
- 5.5 Delta-correlated random processes
- Problems
- Chapter 6: General approaches to analyzing stochastic dynamic systems
- 6.1 Ordinary differential equations
- 6.2 Completely solvable stochastic dynamic systems
- 6.3 Delta-correlated fields and processes
- Problems
- Chapter 7: Stochastic equations with the Markovian fluctuations of parameters
- 7.1 Telegrapher’s processes
- 7.2 Gaussian Markovian processes
- Problems
- Chapter 8: Gaussian delta-correlated random field (ordinary

## Details

- No. of pages:
- 212

- Language:
- English

- Copyright:
- © Elsevier Science 2005

- Published:
- 17th March 2005

- Imprint:
- Elsevier Science

- eBook ISBN:
- 9780080504858

- Paperback ISBN:
- 9780444517968

## Reviews

Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''oil slicks''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere. Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields. The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data. This raises a host of challenging mathematical issues. One could rarely solve such systems exactly (or approximately) in a closed analytic form, and their solutions depend in a complicated implicit manner on the initial-boundary data, forcing and system's (media) parameters . In mathematical terms such solution becomes a complicated "nonlinear functional" of random fields and processes. Part I gives mathematical formulation for the basic physical models of transport, diffusion, propagation and develops some analytic tools. Part II sets up and applies the techniques of variational calculus and stochastic analysis, like Fokker-Plank equation to those models, to produce exact or approximate solutions, or in worst case numeric procedures. The exposition is motivated and demonstrated with numerous examp