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## Classical Probability Theory and Stochastic Processes

*Heinz-Peter Breuer and Francesco Petruccione*

### in The Theory of Open Quantum Systems

- Published in print:
- 2007
- Published Online:
- January 2010
- ISBN:
- 9780199213900
- eISBN:
- 9780191706349
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199213900.003.01
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

This chapter contains a survey of classical probability theory and stochastic processes. It starts with a description of the fundamental concepts of probability space and Kolmogorov axioms. These ... More

## Properties of Langevin and Fokker–Planck equations

*Helmut Hofmann*

### in The Physics of Warm Nuclei: with Analogies to Mesoscopic Systems

- Published in print:
- 2008
- Published Online:
- September 2008
- ISBN:
- 9780198504016
- eISBN:
- 9780191708480
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198504016.003.0025
- Subject:
- Physics, Nuclear and Plasma Physics

This chapter introduces Langevin- and Fokker-Planck equations by way of a heuristic approach to the physics of Brownian particles. Variances of physical quantities are defined and related to ... More

## Continuous Markov process theory

*Daniel T. Gillespie and Effrosyni Seitaridou*

### in Simple Brownian Diffusion: An Introduction to the Standard Theoretical Models

- Published in print:
- 2012
- Published Online:
- January 2013
- ISBN:
- 9780199664504
- eISBN:
- 9780191748516
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199664504.003.0007
- Subject:
- Physics, Soft Matter / Biological Physics

Three years after Einstein published his groundbreaking 1905 paper on diffusion, a different analysis was published by Paul Langevin. Although it was not clearly appreciated at the time, Langevin's ... More

## STOCHASTIC PROCESSES

*Robert M. Mazo*

### in Brownian Motion: Fluctuations, Dynamics, and Applications

- Published in print:
- 2008
- Published Online:
- January 2010
- ISBN:
- 9780199556441
- eISBN:
- 9780191705625
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199556441.003.0003
- Subject:
- Physics, Condensed Matter Physics / Materials

This chapter extends the ideas of Chapter 2 by introducing the notion of stochastic process or random process and its distribution functions. The idea of a Markov process is defined. The ... More

## Generalized diffusion processes and the Fokker‐Planck equation

*Peter Richmond, Jürgen Mimkes, and Stefan Hutzler*

### in Econophysics and Physical Economics

- Published in print:
- 2013
- Published Online:
- December 2013
- ISBN:
- 9780199674701
- eISBN:
- 9780191780066
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199674701.003.0007
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

This chapter discusses the Chapman-Kolmogorov equation, but limits the scope to Markov processes. It is shown here how it can be reduced to the Fokker-Planck partial differential equation, using the ... More

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