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General


Description

The aim of this course is to introduce the concept of random process and enable students to solve problems involving basic stochastic processes.

The brief outline of the content is as follows:

  • Basic probability and probability distributions change of variables, independence.
  • Chapman-Kolmogorov equation, Markov processes, Wiener process methods for solution of diffusion equation.
  • Stochastic integrals, stochastic differential equations, their properties and methods of solution.

Semester

Autumn 2009 (Monday, October 5 to Friday, December 11)

Timetable

  • Mon 13:05 - 13:55
  • Tue 13:05 - 13:55

Prerequisites

No prerequisites information is available yet.

Syllabus

No syllabus information is available yet.

Lecturer


Alexei Likhtman
Email a.likhtman@reading.ac.uk
Phone 0118 3788995
Photo of Alexei Likhtman


Students


Photo of Lini Cao
Lini Cao
(York)
Photo of Tom Dessain
Tom Dessain
(Durham)
Photo of Jotham Gaudoin
Jotham Gaudoin
(Southampton)
Photo of Josef Hoefler
Josef Hoefler
(Cardiff)
Photo of Ho Ming Ku
Ho Ming Ku
(Liverpool)
Photo of Joanne Pocock
Joanne Pocock
(Reading)
Photo of Mark Robbins
Mark Robbins
(Loughborough)
Photo of Mousa Shaikh-Soltan
Mousa Shaikh-Soltan
(Manchester)
Photo of Jorge Vazquez
Jorge Vazquez
(Exeter)
Photo of Yiwei Zhang
Yiwei Zhang
(Exeter)
Photo of Yiqian Zhou
Yiqian Zhou
(Liverpool)


Bibliography


Handbook of Stochastic Methods for Physics, Chemistry, and the Natural SciencesGardiner
Stochastic processes in physics and chemistryvan Kampen


Note:

Clicking on the link for a book will take you to the relevant Google Book Search page. You may be able to preview the book there. On the right hand side you will see links to places where you can buy the book. There is also link marked 'Find this book in a library'. This sometimes works well, but not always. (You will need to enter your location, but it will be saved after you do that for the first time.)

Assessment



No assessment information is available yet.

No assignments have been set for this course.

Files


Files marked L are intended to be displayed on the main screen during lectures.

Week(s)File
1-30all2.pdfL
1-30Introduction_lecture1c.pdfL
1-30lecture10.pdfL
1-30lecture11.pdfL
1-30lecture12.pdfL
1-30lecture13.pdfL
1-30lecture14.pdfL
1-30lecture15.pdfL
1-30lecture16.pdfL
1-30lecture17.pdfL
1-30lecture18.pdfL
1-30lecture19.pdfL
1-30lecture20.pdfL
1-30lecture2h.pdfL
1-30lecture3.pdfL
1-30lecture4.pdfL
1-30lecture5.pdfL
1-30lecture6.pdfL
1-30lecture7.pdfL
1-30lecture8.pdfL
1-30lecture9.pdfL
1-30problems1.pdfL
1-30problems2.pdfL
1-30problems3.pdfL


Recorded Lectures


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