Stochastic dynamics
Lecturer: Schwarz
Link to LSF
34 participants
Stochastic dynamics is the study of dynamical processes that occur on sufficiently large time scales such that the fast microscopic degrees of freedom can effectively be described as stochastic noise. The paradigmatic case is the diffusion of a Brownian particle in a fluid. Two fundamentally different yet equivalent differential equations describe this situation: the Fokker-Planck equation (a partial differential equation, PDE) and the Langevin equation (a stochastic differential equation, SDE, that requires stochastic calculus). For processes with jumps, one deals with a master equation. This lecture offers an introduction into all three types of equations. We also will cover many applications, including examples from biophysics and econophysics. A background in statistical physics is helpful but not required to attend this lecture.
Script and introduction
Exercise sheets
- 01
- 02
- 03
- 04
- 05
- 06
Book recommendations
- J. Honerkamp, Stochastische Dynamische Systeme, VCH 1990
- W. Paul and J. Baschnagel, Stochastic Processes: From Physics to Finance, Springer 1999
- R. Zwanzig, Nonequilibrium Statistical Mechanics, Oxford University Press 2001
- C.W. Gardiner, Handbook of stochastic methods, Springer 2004
- N.G. van Kampen, Stochastic Processes in Physics and Chemistry, Elsevier 1992
- W. Horsthemke und R. Lefever, Noise-induced transitions. Theory and Applications in Physics, Chemistry, and Biology, Springer 1984
- H. Risken, The Fokker-Planck Equation, Springer 1996
Practice groups
- Group 01 (Oliver Drozdowski)
34 participants
Philosophenweg 12, kHS, Wed 16:15 - 18:00