An introduction to the systems that fluctuations and stochastic processes play a critical role and methods to analyze such systems.

Topics are as follows:

  • A review of probability theory
  • Differential equations
  • Stochastic equations with Gaussian noise
  • Fokker–Planck equations and reaction–diffusion systems
  • Application in stock markets



Stochastic Processes for Physicists: Understanding Noisy Systems, K. Jacobs

An Introduction to Random Vibrations, Spectral & Wavelet Analysis, D. E. Newland