Seminar: From O.D.E’s to S.D.E’s – an introduction to stochastic processes

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Seminar: From O.D.E’s to S.D.E’s – an introduction to stochastic processes

Climate Change Research Centre (CCRC) 4th Floor, Matthews Building, UNSW, Kensington

Dr. Tim Duty (Centre of Excellence for Engineered Quantum Systems (EQuS)) In this tutorial, Tim will introduce basic stochastic processes via the Langevin stochastic differential equation. He will discuss its relation to the Fokker-Planck equation, focusing initially on linear (Ornstein-Ulhenbeck) processes. These are stochastic processes that exhibit linear o.d.e.’s for the time dependence of expectation... View Article