List of errata; regrettably
still growing and last updated December 11, 2011. If you find additional
errors, please let me know.
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 provide a unified presentation of first-passage
processes, which highlights its interrelations with electrostatics and the
resulting powerful consequences. The goal of this book is to help those with
modest background learn essential results quickly.
Short list of exercises (updated Jan. 25 2003).
Some book reviews:
by Alan Bray
(Journal of Statistical Physics, February 2002).
by Robert
Dorfman (American Journal of Physics, November 2002).
by Paolo
Laureti (Econophysics Forum, November 2002).
View the table of contents
(ps format file).
The author begins with a modern presentation of fundamental theory,
including the connection between the occupation and first-passage
probabilities of random walk and the connection to electrostatics and current
flows in resistor networks. The consequence of this theory are then
developed for simple, illustrative geometries including finite and
semi-infinite intervals, fractal networks, spherical geometries, and the
wedge. Various applications are presented including neuron dynamics,
self-organized criticality, stochastic resonance, 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 research in physics, chemistry, theoretical biology, electrical
engineering, chemical engineering, operations research, and finance to
understand all of these systems.
Sidney Redner
<redner@bu.edu>
Last modified: Mon Nov 8 22:09:29 EST 2004