An Introduction to Stochastic Processes in Physics

An accessible introduction to stochastic processes in physics which 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. The book builds directly upon early-20th-century explanations of the “peculiar character in the motions of the particles of pollen in water” as described, in the early 19th 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 should find this book a useful aid to learning the unfamiliar mathematical aspects of stochastic processes while applying them to physical processes that they have already encountered.