Contents

1. A Historical Introduction
2. Probability Concepts
3. Markov Processes
4. The Ito Calculus and Stochastic Differential Equations
5. The Fokker-Planck Equation
6. The Fokker-Planck Equation in Several Dimensions
7. Small Noise Approximations for Diffusion Processes
8. The White Noise Limit
9. Beyond the White Noise Limit
10. L´evy Processes and Financial Applications
11. Master Equations and Jump Processes
12. The Poisson Representation
13. Spatially Distributed Systems
14. Bistability, Metastability, and Escape Problems
15. Simulation of Stochastic Differential Equations

References
Bibliography
Author Index
Symbol Index
Subject Index