Probability and Its Applications: A Sample-Paths Approach

Berglund, Nils; Gentz, Barbara

Stochastic differential equations play an increasingly important role in modeling the dynamics of a large variety of systems in the natural sciences, and in technological applications. This book is aimed at advanced undergraduate and graduate students, and researchers in mathematics, physics, the natural sciences, and engineering. It presents a new constructive approach to the quantitative description of solutions to systems of stochastic differential equations evolving on well-separated timescales. The method, which combines techniques from stochastic analysis and singular perturbation theory, allows the domains of concentration for typical sample paths to be determined, and provides precise estimates on the transition probabilities between these domains.

In addition to the detailed presentation of the set-up and mathematical results, applications to problems in physics, biology, and climatology are discussed.

Details

Published by: Springer

Publication Date: 2010-10-21

Format: Paperback

ISBN-13: 9781849965477

DOI: 10.1007/1-84628-186-5

Dimensions: 235cm x155cm

Pages: 276