Softcover ISBN:  9780821848296 
Product Code:  STML/55 
List Price:  $59.00 
Individual Price:  $47.20 
eBook ISBN:  9781470416386 
Product Code:  STML/55.E 
List Price:  $49.00 
Individual Price:  $39.35 
Softcover ISBN:  9780821848296 
eBook: ISBN:  9781470416386 
Product Code:  STML/55.B 
List Price:  $108.00 $83.50 
Softcover ISBN:  9780821848296 
Product Code:  STML/55 
List Price:  $59.00 
Individual Price:  $47.20 
eBook ISBN:  9781470416386 
Product Code:  STML/55.E 
List Price:  $49.00 
Individual Price:  $39.35 
Softcover ISBN:  9780821848296 
eBook ISBN:  9781470416386 
Product Code:  STML/55.B 
List Price:  $108.00 $83.50 

Book DetailsStudent Mathematical LibraryVolume: 55; 2010; 156 ppMSC: Primary 60; 35; 28
The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation by considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equation and the closely related notion of harmonic functions from a probabilistic perspective.
The theme of the first two chapters of the book is the relationship between random walks and the heat equation. The first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set.
The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.
ReadershipUndergraduate students interested in probability and connections between probability and classical analysis.

Table of Contents

Chapters

Chapter 1. Random walk and discrete heat equation

Chapter 2. Brownian motion and the heat equation

Chapter 3. Martingales

Chapter 4. Fractal dimension


Additional Material

Reviews

This beautiful little book is an introduction to some of the key ideas of probability written at an advanced undergraduate level. ... This book is very wellwritten, selfcontained up to material from elementary calculus and basic linear algebra, and has plenty of interesting exercises. It is well suited for an advanced undergraduate course, a student seminar or as material for an undergraduate project.
Mathematical Reviews 
This is a very readable introductory course resource on topics...that have more than their fair share of unreadable textbooks...Its readerfriendly style makes it an ideal choice for a reading course or selfstudy. ...Given the paucity of quality books in this area, the work will be a critical resource for mathematics collections... Essential.
M. Bona, Choice


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The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation by considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equation and the closely related notion of harmonic functions from a probabilistic perspective.
The theme of the first two chapters of the book is the relationship between random walks and the heat equation. The first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set.
The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.
Undergraduate students interested in probability and connections between probability and classical analysis.

Chapters

Chapter 1. Random walk and discrete heat equation

Chapter 2. Brownian motion and the heat equation

Chapter 3. Martingales

Chapter 4. Fractal dimension

This beautiful little book is an introduction to some of the key ideas of probability written at an advanced undergraduate level. ... This book is very wellwritten, selfcontained up to material from elementary calculus and basic linear algebra, and has plenty of interesting exercises. It is well suited for an advanced undergraduate course, a student seminar or as material for an undergraduate project.
Mathematical Reviews 
This is a very readable introductory course resource on topics...that have more than their fair share of unreadable textbooks...Its readerfriendly style makes it an ideal choice for a reading course or selfstudy. ...Given the paucity of quality books in this area, the work will be a critical resource for mathematics collections... Essential.
M. Bona, Choice