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Introduction to the theory of stochastic processes and Brownian motion problems

Small book cover: Introduction to the theory of stochastic processes and Brownian motion problems

Introduction to the theory of stochastic processes and Brownian motion problems
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Publisher: arXiv
Number of pages: 104

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Contents: Historical introduction; Stochastic variables; Stochastic processes and Markov processes; The master equation: Kramers–Moyal expansion and Fokker–Planck equation; The Langevin equation; Linear response theory, dynamical susceptibilities, and relaxation times (Kramers’ theory); Methods for solving Langevin and Fokker–Planck equations; Derivation of Langevin equations in the bath-of-oscillators formalism.

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