Lectures for the master Physics of Complex Systems, S3
- monday 8h30-10h30 : Sorbonne Université, room 109, 24-14
- thursday 8h30-10h30 : Université Paris Cité, (1: Halle-471E, 2: Halle-470E, 3: Halle-165E, 4: Germain-1009, then Halle-470E)
Program:
- Few concepts of probability
- Introduction to Langevin equation
- Markov processes and Master equation
- Stochastic differential equations
- Fokker-Planck equation
- Functionals of stochastic processes
Lecture notes
- lecture notes (update: 11/12/2023)
Tutorials:
- Tut n°1 : Probability
- Tut n°2 : Probability (2)
- Tut n°3 : Langevin equation
- Tut n°4 : Master equation
- Tut n°5 : SDE (1)
- Tut n°6 : SDE (2) – Application for the Anderson localization in 1D
- Tut n°7 : FPE (1)
- Tut n°8 : FPE (2)
- Tut n°9 : FPE (3): first passage time
- Tut n°10 : Functionals
Exams:
- dec 2023 : exam & correction
Bibliography:
- C. W. Gardiner, Handbook of stochastic methods for physics, chemistry and the natural sciences, Springer, 1989
- H. Risken, The Fokker-Planck equation, Springer, 1989
- N. G. van Kampen, Stochastic processes in physics and chemistry, North-Holland, 1992