Introduction to the theory of stochastic processes and Brownian motion problems
by J. L. Garcia-Palacios
Publisher: arXiv 2007
Number of pages: 104
Description:
Contents: Historical introduction; Stochastic variables; Stochastic processes and Markov processes; The master equation: Kramers–Moyal expansion and Fokker–Planck equation; The Langevin equation; Linear response theory, dynamical susceptibilities, and relaxation times (Kramers’ theory); Methods for solving Langevin and Fokker–Planck equations; Derivation of Langevin equations in the bath-of-oscillators formalism.
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