# Archived: SS 18: Theory of Stochastic Processes

**Lecture: **(from 09.04 to 11.07)

- Monday 8:30-10:00 Physik Hörsaal 3
- Wednesday 12:30-14:00 Physik Hörsaal 3

To facilitate the planning of the lecture please register in the TUMonline portal

No lecture on:

- Monday, 21.05.2018 ('Pfingstmontag')

**Tutorials:**

NOTE: Due to some additional registrations the Thursday group will take place!

- Group 1: Monday 10:15-11:45 PH I 3343 (Giovanni)
- Group 2: Wednesday 14:15-16:00 PH II 127 (Stephan)
- Group 3: Thursday 14:15-16:00 PH II 227 (Joachim)

You can register for the tutorials from the 03.04.2018 00:00. Please distribute yourselfs such that the 3 groups have approximately equal size

No tutorials on:

- Monday, 21.05.2018 ('Pfingstmontag')
- Thursday, 10.05.2018 ('Christi Himmelfahrt')
- Thursday, 31.05.2018 ('Fronleichnam')

Please visit one of the other groups if your tutorial does not take place

**Preliminary Content:**

- definition of stochastic processes and basic assumptions for their use to describe physical (and biomolecular) processes
- setting up, solving, and simulating Master equations
- setting up, solving, and simulating stochastic differential equations
- setting up, solving, and simulating Fokker-Planck equations
- understanding and applying basic concepts of stochastic thermodynamics and large deviation theory
- using approximation methods for the analysis of complex stochastic process

See also the module description

**Literature:**

- C. Gardiner: 'Stochastic Methods: A Handbook for the Natural and Social Sciences' (Springer)
- N.G. van Kampen: 'Stochastic Processes in Physics and Chemistry' (North-Holland)
- H. Risken: 'The Fokker Planck Equation' (Springer)
- U. Seifert: 'Stochastic thermodynamics: From principles to the cost of precission'
- S. Ciliberto: 'Experiments in Stochastic Thermodynamics: Short History and Perspectives'
- H. Touchette: 'The large deviation approach to statistical mechanics'
- H. Touchette: 'A basic introduction to large deviations: Theory, applications, simulations'
- A. Wachtel et al.: 'Fluctuating Currents in Stochastic Thermodynamics I. Gauge Invariance of Asymptotic Statistics'
- B. Altaner et al.: 'Fluctuating Currents in Stochastic Thermodynamics II. Energy Conversion and Nonequilibrium Response in Kinesin Models'
- J. Parrondo et al.: 'Thermodynamics of information'
- C. Van den Broeck, M. Esposito: 'Ensemble and Trajectory Thermodynamics: A Brief Introduction'
- further literature will be announced during the lecture

**Exam:**

Registration:

You can register from 14.05.2018 until 30.06.2018 for the first and if necessary from 10.09.2018 until 24.09.2018 for the second exam.

Students in the Master’s programs Physics (Biophysics) and Physics (Condensed Matter Physics) please check the notice on exam registration for the required elective module in theoretical physics!

**Test Exam:**

To give you the chance to get an impression of a typical exam a test exam will be held instead of the lecture probably on 11.06.2018. It replaces the problem set of the corresponding week. Please be there a few minutes early so that we can start on time.

Please note that we will discuss the test exam during the tutorials, thus we will not hand out a solution for it

**Bonus:**

There will be the possibility to obtain a bonus. It is subject to the following conditions:

- You have to register for a tutorial in TUM-Online.
- For at least 70% of the homework problems a resonable attempt to solve the question has to be made.
- A question counts as resonable attempted if your handed in homework shows that you made a substantial effort to solve the problem by using the theory presented in the lecture.
- The decision if a homework problem is resonable attempted is made by the corrector of the homework.
- You have to keep the returned homeworks and show them on demand.
- One of the homeworks will be replaced by a test exam which will be held during one of the lectures (date will be announced later). The problems from the test exam will count as normal homework problems towards the bonus.

Fulfilling these conditions at the end of the semester has the following consequences:

- The grade of a passed exam is improved by one step in the grading scale (0.3 or 0.4 respectively), e.g. a grade of 2.0 in the exam will be improved to 1.7, a grade of 1.7 to 1.3.
- A grade of 1.0 can not be improved.
- A grade on a failed exam can not be improved.
- The bonus is applicable to the exam period directly following the lecture period (not to the exam repetition)

**Problem Sets:**

Every week on Friday a problem set containing problems to be solved during the tutorial sessions and as homework is published on this website.

The questions marked with tutorial will be discussed and solved during the tutorial sessions.

The problems marked with homework are to be solved at home and handed in on friday at 10:00 in the following week (e.g. if the problem set is handed out on Friday 13 April, it needs to be handed in until Friday 20 April). They will then be corrected and marked by the tutors and handed back to you. Please write your name, your matriculation number and the tutor group in which you want to receive your homework on the top of your homework. Further please make sure that the sheets you hand in are thouroghly attached together. The homework can be handed in in the boxes of the corresponding group in the cabinet between room 3218 and 3216. For the homework problems solutions will be provided as print-outs during the tutorials. If necessary, the homework problems can be discussed during the tutorials.