Stochastic Processes

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Jürgen Vollmer, Uni Leipzig, SoSe2022

IPT, Brüderstr. | to be decided | The times for the lectures and the seminar will be arranged in a preliminary session on ^Tuesday, April 5^ 5:15pm ^ ITP, SR211 ^

• Hermann Haken: Synergetics. An Introduction (Springer 1983).
  an excellent introduction to key ideas from a physics perspective
• William Feller: An Introduction to Probability Theory and its Applications, Vol. 1 (Wiley 1968).
  an excellent introduction to key ideas from a mathematics perspective
• Nico van Kampen: Stochastic Processes in Physics and Chemistry (Elsevier, 1981).
  a rich source for applications in physics, in particular of Master equations

• Hannes Risken: The Fokker-Planck Equation (Springer, 1989).
• Crispin W. Gardiner: Handbook of Stochastic Methods (Springer, 1985).
• Sid Redner: A Guide to First-Passage Processes (Cambridge, 2001).

• Albert Einstein: Investigations on the Theory of the Brownian Motion (Dover, 1956).