An Introduction to Stochastic Dynamics

Jinqiao Duan is Professor and Director of the Laboratory for Stochastic Dynamics at Illinois Institute of Technology. During 2011-13, he also served as Professor and Associate Director of the Institute for Pure and Applied Mathematics (IPAM) at the University of California, Los Angeles. An expert in stochastic dynamics, stochastic partial differential equations, and their applications in engineering and science, he has been the managing editor for the journal Stochastics and Dynamics for over a decade. He is also a co-author of a research monograph, Effective Dynamics of Stochastic Partial Differential Equations (2014), based on his teaching at various universities since 1997.

• 1. Introduction; 2. Background in analysis and probability; 3. Noise; 4. A crash course in stochastic differential equations; 5. Deterministic quantities for stochastic dynamics; 6. Invariant structures for stochastic dynamics; 7. Dynamical systems driven by non-Gaussian Lévy motions.

'Jinqiao Duan's book introduces the reader to the actively developing theory of stochastic dynamics through well-chosen examples that provide an overview, useful insights, and intuitive understanding of an often technically complicated topic.' P. E. Kloeden, Goethe University, Frankfurt am Main