Gardiner C.W. Handbook of Stochastic Methods: for Physics, Chemistry and the Natural Sciences

3rd Edition. — Berlin: Springer, 2004. — 440 p. — ISBN: 3-540-20882-8.This valuable and highly-praised reference collects and explains, in simple language and reasonably deductive form, those formulas and methods and their applications used in modern Statistical Physics, including the foundations of Markov systems, stochastic differential equations, Fokker-Planck equations, approximation methods, chemical master equations, and quantum-mechanical Markov processes. The practical orientation and broad coverage appeal to researchers and academics working in theoretical physics, physical chemistry, and related fields.
In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.A Historical Introduction
Probability Concepts
Markov Processes
The Ito Calculus and Stochastic Differential Equations
The Fokker-Planck Equation
Approximation Methods for Diffusion Processes
Master Equations and Jump Processes
Spatially Distributed Systems
Bistability, Metastability, and Escape Problems
Simulation of Stochastic Differential Equations