Stochastic processes in natural sciences 1100-SPNS

Description:
- simple examples of random processes
- Markov processes
- Brownian motion
- M-equation
- Fokker-Planck equation
- The Langevin approach
- Fluctuation-dissipation theorem
- Numerical modelling of stochastic processes

Koordynatorzy przedmiotu

Tomasz Dmochowski
Marta Napiórkowska

Założenia (opisowo)

basics of probability theory, basics of thermodynamics and statistical mechanics, elementary calculus

Efekty kształcenia

Student can identify a physical problem to which a probabilistic or stochastic approach is suitable. Student knows how model such phenomena using the standard techniques of M-equation, Fokker-Planck or Langevin equation. Student knows how to extract physically important informations of solutions to these equations. For special cases can find exact solutions or propose suitable a numerical technique.

Kryteria oceniania

mid-term exam, final exam (written and oral)

Literatura

A. Amir: Thinking Probabilistically
C. W. Gardiner: Handbook of Stochastic Methods: For Physics, Chemistry and the Natural Sciences
K. Jacobs: Stochastic Processes for Physicists
D. S. Lemons: An Introduction to Stochastic Processes in Physics
N.G. Van Kampen: Stochastic Processes in Physics and Chemistry