Theory and applications of stochastic processes: an analytical approach/
Zeev Schuss
- New York: Springer, c2010.
- xvii, 468 p. : ill. ; 24 cm.
- (Applied mathematical sciences), v.170 .
The physical Brownian motion : diffusion and noise -- The probability space of Brownian motion -- Itô integration and calculus -- Stochastic differential equations -- The discrete approach and boundary behavior -- The first passage time of diffusions -- Markov processes and their diffusion approximations -- Diffusion approximations to Langevin's equation -- Large deviations of Markovian jump processes -- Noise-induced escape from an attractor -- Stochastic stability.