Stochastic Processes

Wiki with Exercises, Notes, Hints, and a Feedback-Forum
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).
• Terrell L. Hill: Free Energy Transduction and Biochemical Cycle Kinetics (Dover, 2005).

Each week there will be a set of problems. For each problem there will be a discussion page, and eventually we will discuss the solutions in the seminar. On request I also offer suggestions for further study.

The exercise sheets can be accessed via the overview page, and the tabs in the menu to the left.

For selected problems I will set up a Sage playground, where you can explore the solutions to a range of problems in theoretical mechanics based on interactive Sage templates.

• extension of the wiki and requests for help
• tips and tricks concerning issues with university emails, moodle, almaweb, this wiki, etc

Three are discussion forms on these pages. Viable suggestions and solutions will be promoted from the discussion to Howtos in the main part of the pages. Regular contributors will earn the right to directly edit the pages.