Welcome to the lecture wiki Stochastic Processes (winter term 2015/16)
General
Lecture: Felix Höfling
Problems: JanHendrik Prinz, Felix Höfling
Language: English
SWS/Credits: 4+2 / 10 LP
Students: M.Sc. Mathematics, M.Sc. Physics
Dates

Date 
Time 
Location 
room 
Lecture 
Tuesdays 
2 p.m. 
Arnimallee 35 
lecture hall 001 
Lecture 
Wednesdays 
2 p.m. 
Arnimallee 35 
lecture hall 001 
Problem class 
Wednesdays 
4 p.m. 
Arnimallee 6 
seminar room 009 
Content
The course provides an introduction to stochastic processes with applications in physics and chemistry. We will develop the mathematical theory in the language of modern probability theory, mostly following the book by Øksendal. The results are then applied to diffusion problems and nonMarkovian transport (as in heterogeneous fluids), with the Brownian motion of a colloidal particle serving as paradigmatic example. Further, we will discuss the modelling of chemical reactions, the derivation of stochastic equations of motion from a manyparticle Liouville dynamics, and recent developments in nonequilibrium physics.
Script
 Stochastic processes and correlation functions [Øksendal]
13/10 14/10 20/10 21/10 27/10 28/10 3/11
 Molecular transport phenomena [Hansen/McDonald]
4/11 10/11 11/11 17/11 18/11
 Stochastic differential equations [Øksendal]
18/11 24/11 25/11 01/12 02/12 08/12
 Markov processes [van Kampen, Gardiner, Dynkin]
09/12 15/12 16/12 05/01 06/01 12/01 13/01 19/01 20/01
 Statistical mechanics [Kubo]
26/01 27/01 02/02 03/02 09/02 10/02
Problem sheets
Literature (alphabetic order)
 Dynkin: Markov processes (Springer, 1965)
 Gardiner: Handbook of Stochastic Methods (Springer, 2004)
 Hansen, McDonald: Theory of Simple Liquids (Academic, 2006)
 Kubo, Toda, Hashitsume: Statistical Physics II (Springer, 1998)
 Øksendal: Stochastic Differential Equations (Springer, 2010)
 Paul, Baschnagel: Stochastic Processes (Springer, 2013)
 van Kampen: Stochastic Processes in Physics and Chemistry (Elsevier, 2007)
Name 
Consultation Hour 
Mail 
Prof. Dr. Felix Höfling 
appointment by email 
f.hoefling[at]fuberlin.de 
Dr. JanHendrik Prinz 
appointment by email 
janhendrik.prinz[at]fuberlin.de 
The material is accessed with