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
Textbooks:
Stochastic Processes for Physicists: Understanding Noisy Systems, K. Jacobs
An Introduction to Random Vibrations, Spectral & Wavelet Analysis, D. E. Newland