This version (2025/04/09 12:51) was approved by jv.The Previously approved version (2025/04/07 21:53) is available.

Stochastic Processes

Wiki with Exercises, Notes, Hints, and a Feedback-Forum
Jürgen Vollmer, Uni Leipzig, SoSe2022

Classes and Seminars

Time	Room
Mon, 15:15	ITP, SR211
Fri, 13:15	ITP, SR211

Seminars

Time	Room
Fri, 15:15	ITP, SR211

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 ^

Recommended Literature

Basics

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

Specialized sources

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).

Visionary classical texts

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