Stochastic systems. Uncertainty quantification and propagation (Q660356)

The monograph provides a broad overview over the power of stochastic systems on a high mathematical level. It is aimed at interested readers from various fields of science and practitioners alike, be they from biology, finance, physics or engineering. In presents very intuitively the structure and complexity of mathematical objects from fundamental probability theory to stochastic processes and stochastic calculus, stochastic algebraic equations, as well as numerical and Monte Carlo methods. Proofs are provided if they are simple and helpful to the reader's understanding. Otherwise theorems come with references to the literature. Each chapter closes with a number of exercises, helpful for personal study and in classroom use, as well as an extensive reference list to the subject. The overall structure of the book is as follows: Chapter one is an introduction, motivating the philosophy of the book and giving suggestions for the classroom use. Chapter two gives the objects of mathematical probability theory from probability spaces to distributions and conditional expectations. Discrete time martingales and first Monte Carlo Simulation methods are introduced. Chapter three introduces randomness on functions, i.e., stochastic processes. Important characteristics like correlations, ergodicity and the Markov structure are explained to classify stochastic processes. Again, Monte Carlo simulations are discussed. Chapters four and five are dedicated to stochastic calculus and Itô's formula. Different notions of integrals, from Riemann-Stieltjes to Itô's and Stratonovich's interpretation. Stochastic integrals for Brownian motions and with general semimartingale-integrators are defined. Chapter six introduces a broad range of probabilistic models and describes their emergence in real world phenomena. Important issues like model calibration are discussed. Chapter seven provides an overview on the subject of stochastic ordinary differential equations. A wide spectrum of methods is presented. Differential equations for moments of solutions, numerical methods for simulation such as conditional Monte Carlo, reduced order models and stochastic Galerkin and collocation models. As an application, this chapter discusses phenomena of stochastic stability and noise induced transitions. Chapter eight is devoted to a selection of stochastic algebraic equations of the form \(AU=B\), the solution \(U\) is determined by random matrices \(A\) and \(B\). Such systems may emerge from equilibrium conditions under uncertainties in physics. Several methods to tackle such objects are presented. Chapter nine discusses stochastic partial differential equations (SPDE) and the concept of white noise. A variety of approximation methods are investigated. Finally, the appendices cover further discussions of some techniques found in this book, from reduced order models, quantizers to a selection of functional analytic tools. This book provides the mathematical understanding to a broad spectrum of systems subject to randomness and a vast repertoire of techniques to tackle these phenomena. It is certainly a great source for practitioners and scientists of various fields and will equip the reader with the knowledge to properly formulate his models and to derive the understanding of their behavior.