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Fokker-Planck equation.

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Statistical physics --- Fokker-Planck equation --- Fokker-Planck, Equation de

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This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists.Has been revised and updated to cover the basic principles and applications of various types of stochastic systemsUseful as

Stochastic differential equations. --- Differential equations --- Fokker-Planck equation

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Manifolds (Mathematics) --- Stochastic differential equations --- Differential equations --- Fokker-Planck equation --- Geometry, Differential --- Topology --- Probability theory

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The aims of this book, originally published in 1982, are to give an understanding of the basic ideas concerning stochastic differential equations on manifolds and their solution flows, to examine the properties of Brownian motion on Riemannian manifolds when it is constructed using the stochiastic development and to indicate some of the uses of the theory. The author has included two appendices which summarise the manifold theory and differential geometry needed to follow the development; coordinate-free notation is used throughout. Moreover, the stochiastic integrals used are those which can be obtained from limits of the Riemann sums, thereby avoiding much of the technicalities of the general theory of processes and allowing the reader to get a quick grasp of the fundamental ideas of stochastic integration as they are needed for a variety of applications.

Stochastic differential equations. --- Manifolds (Mathematics) --- Geometry, Differential --- Topology --- Differential equations --- Fokker-Planck equation