Based on lectures given by one of the authors with many years of experience in teaching stochastic processes, this textbook is unique in combining basic mathematical and physical theory with numerous simple and sophisticated examples as well as detailed calculations. In addition, applications from different fields are included so as to strengthen the background learned in the first part of the book. With its exercises at the end of each chapter (and solutions only available to lecturers) this book will benefit students and researchers at different educational levels. Solutions manual available for lecturers on www.wiley-vch.de
Reinhard Mahnke received his PhD (thesis: "Complexity and evolution of biological macromolecules") at the University of Rostock, Germany, and finished a post graduate study at Latvian University, Riga, in 1982/83. In 1990 he became assistant professor in Theoretical Physics at Rostock University. As author of numerous research papers, lecture notes and textbooks he was organizer of several summer schools on many-particle physics in Russia. Professor Mahnke's fields of expertise are nonlinear dynamical models, phase transitions and traffic flow including selforganizing systems. Jevgenijs Kaupus graduated at the Department of Physics and Mathematics of the University of Latvia. In 1995 he received his PhD for a thesis on "Role of fluctuations in the phase transition region". Since 1997, he has been working in the Institute of Mathametics and Computer Science of the University of Latvia, from 2003 to 2005 as senior researcher. Today he is associated professor in Liepaja Pedagogical Academy, Latvia. The main topics of his work are phase transitions and critical phenomena, traffic flow theory and ferroelectrics. Professor Kaupus is the author of more than 70 scientific publications. Ihor Lubashevsky received his PhD from Moscow Institute for Physics and Technology in 1980. He became assistant professor at Moscow State University in 1993. Since 1997, he is leading staff scientist at the theory department at the A. M. Prokhorov General Physics Institute of the Russian Academy of Sciences as well as chair and professor at the department for modelling of Radio-Physical Processes, Moscow Technical University of Radio-Engineering, Electronics and Automation. Professor Lubashevsky's research experience spans over statistical physics, in particular non-equilibrium many particle systems.
Fundamental Concepts Multidimensional Approach The Master Equation The Fokker-Planck Equation The Langevin Equation One-Dimensional Diffusion Bounded Drift-Diffusion Motion The Ornstein-Uhlenbeck Process Nucleation in Supersaturated Vapors Vehicular Traffic Noise-Induced Phase Transitions Many-Particle Systems