Introduction to the theory of stochastic processes and Brownian motion problems

Details Introduction to the theory of stochastic processes and Brownian motion problems Introduction to the theory of stochastic processes and Brownian motion problems

2007-01-11

arxiv.org/abs/cond-mat/0701242v1

Physics

Condensed Matter

Statistical Mechanics

104 pages, 15 figs. Undergraduate (2002) and graduate course notes (2005). Examples drawn from both translational and rotation

Scientific paper

These notes are an introduction to the theory of stochastic processes based
on several sources. The presentation mainly follows the books of van Kampen and
Wio, except for the introduction, which is taken from the book of Gardiner and
the parts devoted to the Langevin equation and the methods for solving Langevin
and Fokker-Planck equations, which are based on the book of Risken.

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