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


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


Wentian Li's bibliography of 1/f-noise