TU Berlin

Research Training Group GRK1558Pototsky 2013

Logo of GRK 1558

Page Content

to Navigation

There is no English translation for this web page.

Stochastic Equations and Processes in Physics and Biology


Lecture course in winter semester 2013 consisting of 8 lectures in total


Dr. Andrey Pototsky

(Swinburne University of Technology, Melbourne)


November 18 -  December 12, 2013

Day, time, and place

Mondays,  16:15 - 17:45 h,  and

Thursdays,  14:15 - 15:45 h

in room ER 164 at TU Berlin.


Course Outline

  • Probability and stochastic processes: general mathematical framework.
  • Random walk and first passage time
  • Auto-correlation function and the Wiener-Khinchin theorem.
  • Computation of power spectral density for linear stochastic equations.
  • The Wiener process and the diffusion equation.
  • Basics of the Ito and Stratonovich stochastic calculus.
  • The Fokker-Planck equation.
  • Brownian Ratchets: general theory, examples involving asymptotic expansion
  • The Fokker-Planck equation: eignefunction expansion and the linear response theory
  • systems with interactions: from statistical physics to Density Functional Theory

Recommended literature:

  • C. Gardiner, Stochastic Methods. A Handbook for the Natural and Social Sciences
  • Hannes Risken, The Fokker-Planck Equation
  • R.L. Stratonovich, Topics in the Theory of Random Noise
  • William Feller, An Introduction to Probability Theory and its Applications

Lecture pdfs

Lectures part 1
Lectures part 2


Tutorial 1
Tutorial 2


Quick Access

Schnellnavigation zur Seite über Nummerneingabe