Stochastic Processes in the Physical Sciences

Subject:

Applied Mathematics (AMATH)

Catalog number:

777

Unit weight:

0.50

Meet type:

LEC

Grading basis:

NUM

Cross-listing(s):

N/A

Requisites:

N/A

Description:

Basic concepts and classification of stochastic processes. Stochastic differentiation and integration, Markov processes, Chapman-Kolmogorov equation, Fokker-Planck equation, Master equations: mesoscopic vs. macroscopic description. Spectral representation of stationary processes. Correlation function theory. A previous course in probability theory at the undergraduate level is strongly recommended.

Topic titles:

N/A

Faculty:

Mathematics (MAT)

Academic level:

GRD

Course ID:

011284