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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 recommendations of statistical independence, anticipated values, the algebra of ordinary variables, the principal restrict theorem, and Wiener and Ornstein-Uhlenbeck approaches. solutions are supplied for a few difficulties.

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

Example text

A continuous random variable X is completely defined by its probability density p(x). The probability p(x) d x obeys the same rules as does P(x), even if these must be formulated somewhat differently. 1) because some value X = x must be realized. The probability density p(x) must be non-negative. Also, two random variables X and Y are statistically independent if and only if their joint, p(x & y), and individual, p(x) and p(y), probability densities are related by p(x & y) = p(x) p(y). 2) The expected value X of a continuous random variable X is given by X = ∞ x p(x) d x.

3) that is, while any single Brownian particle may drift from its starting point, the mean of the displacement X maintains its initial (zero) value. Now, var{X 1 } = var{X 2 } = . . 5) for each i = 1, 2, . . n. For this reason, and because the X i are statistically independent, the variance sum theorem yields n X2 = var{X i } i=1 = n x 2. 1. Random walk in two dimensions realized by taking alternate steps along the vertical and horizontal axes and determining the step polarity (left/right and up/down) with a coin flip.

How does the net displacement of the Brownian particle evolve with time? 1) and answer this question. 2) 46 EINSTEIN’S BROWNIAN MOTION and when t = dt, X (2dt) = X (dt) + √ δ 2 dtNdt2dt (0, 1). 3) Dropping the former into the right-hand side of the latter produces X (2dt) = X (0) + √ δ 2 dtN0dt (0, 1) + √ δ 2 dtNdt2dt (0, 1). 4) sum, via the normal sum and linear transform theorems, to X (2dt) = X (0) + N02dt (0, δ 2 2dt). 5) Repeating this substitution and addition indefinitely produces X (t) = X (0) + N0t (0, δ 2 t).

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