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Applied Stochastic Analysis
 
Weinan E Princeton University, Princeton, NJ
Tiejun Li Peking University, Beijing, China
Eric Vanden-Eijnden Courant Institute of Mathematical Sciences, New York, NY
Front Cover for Applied Stochastic Analysis
Available Formats:
Softcover ISBN: 978-1-4704-6569-8
Product Code: GSM/199.S
List Price: $85.00
MAA Member Price: $76.50
AMS Member Price: $68.00
Electronic ISBN: 978-1-4704-5241-4
Product Code: GSM/199.E
List Price: $85.00
MAA Member Price: $76.50
AMS Member Price: $68.00
Bundle Print and Electronic Formats and Save!
This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $127.50
MAA Member Price: $114.75
AMS Member Price: $102.00
Front Cover for Applied Stochastic Analysis
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  • Front Cover for Applied Stochastic Analysis
  • Back Cover for Applied Stochastic Analysis
Applied Stochastic Analysis
Weinan E Princeton University, Princeton, NJ
Tiejun Li Peking University, Beijing, China
Eric Vanden-Eijnden Courant Institute of Mathematical Sciences, New York, NY
Available Formats:
Softcover ISBN:  978-1-4704-6569-8
Product Code:  GSM/199.S
List Price: $85.00
MAA Member Price: $76.50
AMS Member Price: $68.00
Electronic ISBN:  978-1-4704-5241-4
Product Code:  GSM/199.E
List Price: $85.00
MAA Member Price: $76.50
AMS Member Price: $68.00
Bundle Print and Electronic Formats and Save!
This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $127.50
MAA Member Price: $114.75
AMS Member Price: $102.00
  • Book Details
     
     
    Graduate Studies in Mathematics
    Volume: 1992019; 305 pp
    MSC: Primary 60; 62; 65; 82;

    This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.

    Readership

    Undergraduate and graduate students and researchers interested in stochastic processes, stochastic analysis, and applications.

  • Table of Contents
     
     
    • Fundamentals
    • Random variables
    • Limit theorems
    • Markov chains
    • Monte Carlo methods
    • Stochastic processes
    • Wiener process
    • Stochastic differential equations
    • Fokker-Planck equation
    • Advanced topics
    • Path integral
    • Random fields
    • Introduction to statistical mechanics
    • Rare events
    • Introduction to chemical reaction kinetics
  • Reviews
     
     
    • This book strikes a nice balance between mathematical formalism and intuitive arguments; a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation.

      Peter Rabinovitch, MAA Reviews
  • Requests
     
     
    Review Copy – for reviewers who would like to review an AMS book
    Desk Copy – for instructors who have adopted an AMS textbook for a course
    Examination Copy – for faculty considering an AMS textbook for a course
    Permission – for use of book, eBook, or Journal content
    Accessibility – to request an alternate format of an AMS title
Volume: 1992019; 305 pp
MSC: Primary 60; 62; 65; 82;

This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.

Readership

Undergraduate and graduate students and researchers interested in stochastic processes, stochastic analysis, and applications.

  • Fundamentals
  • Random variables
  • Limit theorems
  • Markov chains
  • Monte Carlo methods
  • Stochastic processes
  • Wiener process
  • Stochastic differential equations
  • Fokker-Planck equation
  • Advanced topics
  • Path integral
  • Random fields
  • Introduction to statistical mechanics
  • Rare events
  • Introduction to chemical reaction kinetics
  • This book strikes a nice balance between mathematical formalism and intuitive arguments; a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation.

    Peter Rabinovitch, MAA Reviews
Review Copy – for reviewers who would like to review an AMS book
Desk Copy – for instructors who have adopted an AMS textbook for a course
Examination Copy – for faculty considering an AMS textbook for a course
Permission – for use of book, eBook, or Journal content
Accessibility – to request an alternate format of an AMS title
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