Markov Processes
1st Edition
An Introduction for Physical Scientists
Description
Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level.
Key Features
- A self-contained, prgamatic exposition of the needed elements of random variable theory
- Logically integrated derviations of the Chapman-Kolmogorov equation, the Kramers-Moyal equations, the Fokker-Planck equations, the Langevin equation, the master equations, and the moment equations
- Detailed exposition of Monte Carlo simulation methods, with plots of many numerical examples
- Clear treatments of first passages, first exits, and stable state fluctuations and transitions
- Carefully drawn applications to Brownian motion, molecular diffusion, and chemical kinetics
Readership
Professionals/scientists without training in probability and statistics (using books as a "self-help" guide), senior undergraduate and graduate level students in physics and chemistry and mathematicians specializing in game theory, and finite math
Table of Contents
Random Variable Theory. General Features of a Markov Process. Continuous Markov Processes. Jump Markov Processes with Continuum States. Jump Markov Processes with Discrete States. Temporally Homogeneous Birth-Death Markov Processes. Appendixes: Some Useful Integral Identities. Integral Representations of the Delta Functions. An Approximate Solution Procedure for "Open" Moment Evolution Equations. Estimating the Width and Area of a Function Peak. Can the Accuracy of the Continuous Process Simulation Formula Be Improved? Proof of the Birth-Death Stability Theorem. Solution of the Matrix Differential Equation. Bibliography. Index.
Details
- No. of pages:
- 592
- Language:
- English
- Copyright:
- © Academic Press 1991
- Published:
- 8th October 1991
- Imprint:
- Academic Press
- eBook ISBN:
- 9780080918372
- Hardcover ISBN:
- 9780122839559
About the Author
Daniel Gillespie
Affiliations and Expertise
Naval Weapons Center