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By Don S. Lemons

A textbook for physics and engineering scholars that recasts foundational difficulties in classical physics into the language of random variables. It develops the thoughts of statistical independence, anticipated values, the algebra of ordinary variables, the crucial restrict theorem, and Wiener and Ornstein-Uhlenbeck strategies. solutions are supplied for a few difficulties.

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Extra resources for An introduction to stochastic processes in physics, containing On the theory of Brownian notion

Example text

At what time does the concentration peak pass the observer? 3. Brownian Motion √ with Drift. Consider the dynamical equation X (t + dt) − X (t) = αdt + δ 2 dtNtt+dt (0, 1), describing Brownian motion superimposed on a steady drift of rate α. a. 3. b. Find the associated probability density p(x, t). c. Show that the √ full width of p(x, t) at half its maximum value increases in time as 2 2δ 2 t ln 2. 5. Sedimentation: layers of Brownian particles drifting downward and diffusing in a viscous fluid.

In chapter 6, we appeal to the central limit theorem in formulating the fundamental dynamical equations that govern random processes. The normal linear transform and normal sum theorems help us solve these dynamical equations. 1. Uniform Linear Transform. Prove U (α, β) = α+βU (0, 1) by showing that MU (α,β) (t) = Mα+βU (0,1) (t). 2. Adding Uniform Variables. Prove that the sum U1 (m 1 , a1 )+U2 (m 2 , a2 ) of two statistically independent uniform variables U1 (m 1 , a1 ) and U2 (m 2 , a2 ) is not itself a uniform random variable by showing that the moment-generating function of U1 (m 1 , a1 ) + U2 (m 2 , a2 ) is not in the form of a moment-generating function of a uniform random variable.

1, Autocorrelated Process. 6) with t + t and applying the initial condition X (t) = x(t). A Monte Carlo simulation is simply a sequence of such updates with the realization of the updated position x(t + t) at the end of each time step used as the initial position x(t) at the beginning of the next. 2 was produced in this way. The 100 plotted points mark sample positions along the particle’s trajectory. Equally valid, if finer-scaled, sample paths could be obtained with smaller time steps t. But recall that X (t) is not a smooth process and its time derivative does not exist.

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