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Stochastic processes in physics
The course provides an introduction to stochastic processes with attention paid both to general methods and the diverse applications to physics and natural phenomena.
Programme
Lectures will combine in-depth analysis of a given method/equation and its applications to various natural phenomena. A tentative program is:
- Reminders on probabilities
- Markov processes, jump processes and Markov chains
- Langevin equation
- Diffusions, stochastic differential equation and Fokker-Planck equation
- Functionals of diffusions and Feynmann-Kac formula
- Introduction to stochastic thermodynamics
Evaluation
The final grade will be based on a combination of in-class participation (20%), results of the homework (30%) and the final exam (50%)
Prerequisites
Some background in probability is welcome but not necessary