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Stochastic Processes for Physicists


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Table of Contents

1. A review of probability theory; 2. Differential equations; 3. Stochastic equations with Gaussian noise; 4. Further properties of stochastic processes; 5. Some applications of Gaussian noise; 6. Numerical methods for Gaussian noise; 7. Fokker-Planck equations and reaction-diffusion systems; 8. Jump processes; 9. Levy processes; 10. Modern probability theory; Appendix; References; Index.

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Introduction to stochastic processes and their applications, and methods for numerical simulation, for graduate students and researchers in physics.

About the Author

Kurt Jacobs is an Assistant Professor in the Physics Department at the University of Massachusetts, Boston. He is a leading expert in the theory of quantum feedback control and the measurement and control of quantum nano-electro-mechanical systems.


'Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations.' Cosma Shalizi, Physics Today
'I think this book is a very nice introduction to the subject of stochastic processes.' Zentralblatt MATH
"Jacobs is an enthusiastic, clear, and concise writer. He presents each theory by means of heuristic arguments and calculations." Cosma Shalizi, Physics Today
"This book gives a very clear and readable account of the basic concepts required. On the whole, this is an excellent user-friendly introduction to the subject. I would use it myself, if I were teaching such a course." Deepak Dhar, Mathematical Reviews

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