Stochastic models, information theory, and Lie groups. Volume I: Classical results and geometric methods (Q1018982): Difference between revisions

The aim of this work is to provide the engineers and physicists with a book on stochastic modeling mechanical systems. Volume 1 establishes the geometric and statistical foundations required to understand the fundamentals of continuous-time stochastic processes, differential geometry and the probabilistic foundations of information theory. The author organized volume 1 into the following 9 chapters and an appendix: Chapter 1 provides an introduction and overview of the kinds of the problems that can be addressed using the mathematical modeling methods of this book. Chapter 2 reviews every aspect of the Gaussian distribution, and uses this as the quintessential example of a probability density function. Chapter 3 discusses probability and information theory and introduces notation that will be used throughout these volumes. Chapter 4 is an overview of white noise, stochastic differential equations (SDEs), and Fokker-Planck equations on the real line and in Euclidean space. The relationship between Itô and Stratonovich SDEs is explained, and examples illustrate the conversations between these forms on multi-dimensional examples in Cartesian and curvilinear coordinate systems. Chapter 5 provides an introduction to geometry including elementary projective, algebraic, and differential geometry of curves and surfaces. That chapter begins with some concrete examples that are described in detail. Chapter 6 introduces differential forms and a generalized Stokes theorem. Chapter 7 generalizes the treatment of surfaces and polyhedra to manifolds and polytopes. The geometry is first described by using a coordinate-dependent presentation that some differential geometers may find old-fashioned, but it is nonetheless fully rigorous and general, and far more accessible to the engineer and scientist than the elegant and powerful (but cryptic) coordinate-free descriptions. Chapter 8 discusses stochastic processes in manifolds and related probability flows. Chapter 9 summarizes the current volume and introduces Volume 2. The appendices provide a comprehensive review of concepts from linear algebra, multivariate calculus, and systems of first-order ordinary differential equations. In addition, exercises at the end of each chapter in Volume 1 reinforce the main points. There are more than 150 exercises in Volume 1.