Stochastic Processes

 

The notes below are based on the famous book “The Fokker-Planck Equation: Methods of Solutions and Applications” by H. Risken.

1. Random variables and random processes

2. Relation between stochastic DE and the Fokker-Plank equation: Langevin equations and the Kramers-Moyal expansion

3. Wiener path integrals

The notes below are based on the book “Path Integrals in Physics: Volume I Stochastic Processes and Quantum Mechanics” by M. Chaichian and A. Demichev.

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