Theory and Applications of Stochastic Processes: An Analytical Approach (Applied Mathematical Sciences, 170)

From the reviews:

“It intends to investigate the role of stochastic processes in questions from physics or engineering, to explore the strong relationship between stochastic and partial differential equations and to provide analytical approximations to the solutions. ... The book will be very helpful to people working in disciplines like statistical physics, physical chemistry, molecular biophysics, and communications theory. ... Endowed with numerous exercises and worked-out examples, it may also provide graduate students with a well-thought-out two-semester course on stochastic processes and their applications.”­­­ (Dominique Lépingle, Mathematical Reviews, Issue 2011 d)

“This book is something for which many have been long awaiting. It provides a rather in-depth presentation of the analytical approach to stochastic processes with continuous paths. ... The methods developed in the text are very accessible to applied mathematicians with a basic background in probability theory. This is a timely and unique contribution, from one of its leading researchers over four decades, to an exciting area of applied mathematics with ever-growing importance.” (Hong Qian, SIAM Review, Vol. 53 (1), 2011)