Introduction to the stochastic process and its application in physics

The stochastic process is a popular tool for broad disciplines, such as physics, biophysics, chemistry, neuroscience, economics, and finance. In this lecture course, I will provide an elementary introduction to stochastic processes in physics without assuming rigorous background knowledge of probability theories. Most of the basic topics in stochastic processes will be covered in this lecture course, such as (1) the one-to-one correspondence between stochastic differential equations and master equations, (2) their standard forms, (3) Ito's lemma, and (4) the perturbation theories (the system-size expansion). I will also present its application to statistical physics, such as (5) kinetic theory and (6) a microscopic derivation of the Langevin equation from hard-sphere Hamiltonian dynamics in the dilute gas limit. My goal is to help the audience calculate most of the main calculations by their own hands by providing detailed explanations without abbreviations. This lecture is based on my Japanese notebook, available on my webpage (see the link below).

Schedule:
(Tue., Feb. 4) 13:00-14:30, 14:45-16:15, 16:30-18:00
(Wed., Feb. 5) 10:30-12:00, 13:00-14:30, 14:45-16:15