Probability theory and stochastic processes for physicists
"The true logic of this world is in the calculus of
probabilities." (James Clerk Maxwell)
Time and place of lectures: Note the changes!
Mondays 12.15-13.45 and Tuesdays 12.00-12.45 in the conference room of
the theory institute
Problem session Tuesdays 12.45-13.30 (on demand)
No lecture on Tuesday, January 31!
Recommended literature:
D. Sornette: Critical Phenomena in Natural Sciences (2nd edition, Springer 2004)
N.G. van Kampen: Stochastic Processes in Physics and Chemistry (3rd
Edition, Elsevier 2007)
C. Gardiner: Stochastic Methods (4th Edition, Springer 2009)
A. Papoulis, S.U. Pillai: Probability, Random Variables and Stochastic
Processes (4th Edition, McGraw Hill 2002)
Lecture notes
week 41
week 42
week 43
week 45
week 46
week 47
week 48
week 49
week 50
week 51
week 2
week 3
week 4
Problem sheets
Problems 1-3
Problems 4-7
Solutions to problems 4 and 5
Problems 8-11
Problems 12-14
Problems 15-18
Problems 19-20
Papers
Lorentz gas
Living polymers
Foraging albatrosses (1996)
Foraging albatrosses (2007)
Soap bubbles and hurricanes
Renormalization flow in extreme
value statistics
Power laws, Pareto distributions and
Zipf's law
A paradoxical property of the
monkey book
The random energy model
Distribution of fitness effects in
experimental evolution
Breaking records and breaking boards
The origin of bursts and heavy
tails in human dynamics
The paradox of the expected time
until the next earthquake
Implications of the Copernican
principle for our future prospects
Predicting future duration from
present age: A critical assessment
1/f noise: a pedagogical review
Universal persistence law governing
atmospheric variability
Drift without flux: Brownian walker
with a space-dependent diffusion coefficient
Lagrangian modeling of plankton motion
Links
Wentian Li's
bibliography of 1/f-noise