An Introduction to Stochastic Processes in Physics
Containing "On the Theory of Brownian Motion" by Paul Langevin, Translated by Anthony GythieleBook - 2002
A textbook for physics and engineering students that recasts foundational problems in classical physics into the language of random variables. It develops the concepts of statistical independence, expected values, the algebra of normal variables, the central limit theorem, and Wiener and Ornstein-Uhlenbeck processes. Answers are provided for some problems. Annotation c. Book News, Inc., Portland, OR (booknews.com)
Johns Hopkins University Press
This book provides an accessible introduction to stochastic processes in physics and describes the basic mathematical tools of the trade: probability, random walks, and Wiener and Ornstein-Uhlenbeck processes. It includes end-of-chapter problems and emphasizes applications.
An Introduction to Stochastic Processes in Physics builds directly upon early-twentieth-century explanations of the "peculiar character in the motions of the particles of pollen in water" as described, in the early nineteenth century, by the biologist Robert Brown. Lemons has adopted Paul Langevin's 1908 approach of applying Newton's second law to a "Brownian particle on which the total force included a random component" to explain Brownian motion. This method builds on Newtonian dynamics and provides an accessible explanation to anyone approaching the subject for the first time. Students will find this book a useful aid to learning the unfamiliar mathematical aspects of stochastic processes while applying them to physical processes that he or she has already encountered.