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  1. Home
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  3. A Guide to First-Passage Processes
  • Cited by 1850
Publisher:
Cambridge University Press
Online publication date:
August 2012
Print publication year:
2001
Online ISBN:
9780511606014
DOI:
https://doi.org/10.1017/CBO9780511606014
Subjects:
Physics and Astronomy, Applied Probability and Stochastic Networks, Statistics and Probability, Statistical Physics
Information

Book description

First-passage properties underlie a wide range of stochastic processes, such as diffusion-limited growth, neuron firing and the triggering of stock options. This book provides a unified presentation of first-passage processes, which highlights its interrelations with electrostatics and the resulting powerful consequences. The author begins with a presentation of fundamental theory including the connection between the occupation and first-passage probabilities of a random walk, and the connection to electrostatics and current flows in resistor networks. The consequences of this theory are then developed for simple, illustrative geometries including the finite and semi-infinite intervals, fractal networks, spherical geometries and the wedge. Various applications are presented including neuron dynamics, self-organized criticality, diffusion-limited aggregation, the dynamics of spin systems and the kinetics of diffusion-controlled reactions. First-passage processes provide an appealing way for graduate students and researchers in physics, chemistry, theoretical biology, electrical engineering, chemical engineering, operations research and finance to understand all of these systems.

Reviews

‘… this is unquestionably a valuable book, written at an accessible level for graduate students while providing a nice summary of the last century’s - and notably the last two decades’ - developments of these methods. I do not doubt that this will be a popular book; it fills a hole in the textbook/monograph literature that’s needed filling for at least ten years. Moreover, the author’s style is relaxed and crystal clear while maintaining mathematical precision and power.’

Charles Doering - University of Michigan

‘… to practitioners in the field of first-passage problems and to students entering the field … I can recommend it strongly … It is clearly written and the organisation and presentation of the material are excellent. It serves as a useful repository of standard and not-so-standard techniques which anyone working in the area of stochastic processes in general, and first-passage problems in particular, will want to have on their shelves.’

Alan J. Bray Source: The Journal of Statistical Physics

'I found the author's style accessible and interesting.'

Source: Contemporary Physics

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