Customer Reviews

An Introduction to Stochastic Processes in Physics (Johns Hopkins Paperback)

5 star:		(4)
4 star:		(2)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

It is a pity that Ito Calculus is never taught in the physics curriculum (graduate or undergraduate), and learning it properly requires more advanced mathematics. This book won't overcome this deficit, however, it'll give the physicist an excellent intro to stochastic processes and practical (ready-to-use) methods for solving stochastic differential equations. I am amazed at how easy it is to read this book, and how clever and concise the presentation is. Definitely worth 5 stars for these 128 pages of text. Well worth the price tag. Get the hardcover if you want the book to last because you may refer to it again and again. It's a shame it took so long for a book of the sort to be made available.

This book is a perfect introduction to Stochastic Process for Physicists.However it is only an introduction.Our friends Economists are much ahead of us Physicists in the use of stochastic process . So for example the book do not explain ITO calculus and therefore the reader never knows that the stochastic differential equation is just symbolic. That the integrals involving paths do not exist and have to be interpreted like ITO or Stratonovich. I recomend another book like the one by Thomas Mikoshch or the one by Fima Klebaner for further studies

This is an intersting and worthwhile introduction to stochastic processes that expresses the main ideas in a language familiar to physicists. The book "does exactly what it says on the tin" using fairly basic undergraduate mathematics. The introductry chapters are too long - many of the basic results here are very rudimentary and this takes away from the book. It's chapter 6 before we hit random process properly, defining the Weiner process as a random variable in terms of difference or increment that is normally distributed. In subsequent chapters he covers stochastic differential equations that are important in physics; Ornstein-Ulenbeck etc. Lemons shows us how to integrate these stochastic differential equations using basic mathematical and statistical tools. In this the book is excellent. So, having read the book one will have a familiarity with the elements of continuous time processes but that's all.
I'm not a physicist but on the applied mathematics side the important points are, in my humble opinion, a) the problem of integration of a random curve (i.e. rocket science) - why does ordinary integration not work? and b) what are the constants of motion (e.g. conservation of mass) that are preserved. In a) the question is waved away a bit - the fact that Reimann sums don't actually "sum" means that a new integrator is necessary (e.g. Ito calculus) - a couple of chapters dealing with this would be better than the long intro. For b) martingales are the key as they conserve expectation. This is a language familiar to physics and interpreting this important probability concept into physically meaningful problems would be a great help and steping stone to a deeper understanding of random process.

I was looking for an introduction on stochastic systems when
I found by chance this book. It was exactly what I was looking for. This is an excellent introduction to that subject. I enjoyed reading
the text and doing the exercises (I did them all, just for the
fun of it). I also bought most of the books the author gives as references, and I must say, those books are also excellent. If you buy this book, you are not going to have regrets. Congratulations to the author!

This very short and to the point text is incredible. If you are an undergraduate or graduate student in physics (I am a grad student)this work is an extremely useful basic overview/review of this topic. I would say it is essential. I wish I would have gotten and read this text completely in undergrad.

I received this book right when I was told I would, and it was perfect! I ordered it for a professor, so I didn't read it myself, but he is happy with it!