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Stochastic Processes in Physics
The course provides an introduction to stochastic processes with attention paid to general methods and the applications to physics applications.
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, results of two homeworks and the final exam.
Prerequisites
Some background in probability is welcome but not necessary