|
|
Stochastic Processes |
Modul: | Phy-Ba-PV: Physikalische Vertiefung |
Lecture language |
English |
Summary of Lecture: |
random variables, some distributions, statistical inference;
law of large numbers, central limit theorem;
Gaussian stochastic processes in discrete and continuous time;
Brownian motion, Ornstein-Uhlenbeck-process;
Markov processes, Langevin equation, Fokker Planck equations;
Ito versus Stratonowich stochastic integrals;
|
|
data set up-to-date |
Scope: | lecture: 2 hours/week
|
Time/location: |
MO(5) MPI PKS |
Audience: |
Vertiefung Bachelor (PV) und Master (alle) |
Specialization area: | Theoretische Physik (Vorlesung im Fakultativteil der Wahlpflichtvertiefung) |
Previous knowledge: |
theoretical physics: classical mechanics |
Certificate: |
certificate of participation |
Enrolment: |
email to kantz@pks.mpg.de |
Web-reference: |
|
Important update on Monday, Oct. 17,2022:
I have to postpone again the beginning of the course.
The first lesson will now be on Nov. 7, 2022. I will
send lecture notes to all those who register by email to:
kantz@pks.mpg.de
place in the future: Lecture hall 4 (Seminarraum 4) at MPIPKS. |