Physik Sommersemester 2008
06348 Stochastic processes for physicists [V]
Dozent Goychuk I.
Dauer 4 SWS
Studiensemester 6
Schein Nein
Termin Mo, 10:00 - 11:30 u. Do, 10:00 - 11:30, 2004/HZ
Beginn 14.04.2008
  • Random variables. Transformation of random variables. Limit theorems.
  • Stochastic processes: general definitions and properties.
  • Markovian stochastic processes.
  • Master equation and random walks, one-step processes.
  • Simplest non-Markovian processes: trajectory description, continuous time random walks and anomalous diffusion.
  • Fokker-Planck equation. Bistability and escape problems. Current and diffusion in periodic potentials.
  • Stochastic differential equations. Langevin equation.
  • Chemical master, Fokker-Planck and Langevin equations. Numerical simulations.
Begleitend 06060
  1. A. Papoulis, Probability, random variables, and stochastic processes, 2nd ed. (McGraw-Hill, New York, 1984)
  2. N.G. van Kampen, Stochastic processes in physics and chemistry, 2nd ed. (North-Holland, Amsterdam, 1992)
  3. C.W. Gardiner, Handbook of stochastic methods for physics, chemistry and natural sciences, 2nd ed. (Springer,Berlin, 1985)