Introduction to the theory of stochastic processes and Brownian motion problems
Statistical Mechanics
2007-05-23 v1 Data Analysis, Statistics and Probability
Abstract
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.
Keywords
Cite
@article{arxiv.cond-mat/0701242,
title = {Introduction to the theory of stochastic processes and Brownian motion problems},
author = {J. L. Garcia-Palacios},
journal= {arXiv preprint arXiv:cond-mat/0701242},
year = {2007}
}
Comments
104 pages, 15 figs. Undergraduate (2002) and graduate course notes (2005). Examples drawn from both translational and rotational Brownian motion