Abstract

Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level.

• A self-contained, prgamatic exposition of the needed elements of random variable theory
• Logically integrated derviations of the Chapman-Kolmogorov equation, the Kramers-Moyal equations, the Fokker-Planck equations, the Langevin equation, the master equations, and the moment equations
• Detailed exposition of Monte Carlo simulation methods, with plots of many numerical examples
• Clear treatments of first passages, first exits, and stable state fluctuations and transitions
• Carefully drawn applications to Brownian motion, molecular diffusion, and chemical kinetics