PHYSIC 650: Introduction to Stochastic Processes

This course covers the mathematics required to describe dynamical systems that are subject to random noise. The class begins by reviewing probability theory and differential equations. Ito calculus is then derived, and used to solve simple differential equations driven by noise. These are applied to Brownian motion and option pricing. The class also covers Fokker-Planck equations, reaction-diffusion systems, and Jump processes. The latter are aplied to population dynamics, chemical reactions, and stochastic resonance in neurons. When Offered: This class is offered in the Spring semester in every even numbered year.  UMass Boston Course Search page