Nonequilibrium Statistical Mechanics (V. Balakrishnan, IIT Madras): Lecture 36 - The Wiener Process (Standard Brownian Motion)

Nonequilibrium Statistical Mechanics

Nonequilibrium Statistical Mechanics. Instructor: Professor V. Balakrishnan, Department of Physics, IIT Madras. Thermal fluctuations, Langevin dynamics, Brownian motion and diffusion, Fokker-Planck equations, linear response theory, fluctuation-dissipation relations, the Boltzmann equation, critical phenomena, scaling and critical exponents. (from nptel.ac.in)

Lecture 36 - The Wiener Process (Standard Brownian Motion)

Sample path properties. Iterated logarithm law and arcsine law. Functionals of the Wiener process. Ito calculus: basic rules. The Feynman-Kac formula and generalisations.

Go to the Course Home or watch other lectures:

Lecture 01 - Recapitulation of Equilibrium Statistical Mechanics

Lecture 02 - The Langevin Model (Part 1)

Lecture 03 - The Langevin Model (Part 2)

Lecture 04 - The Langevin Model (Part 3)

Lecture 05 - The Langevin Model (Part 4)

Lecture 06 - Linear Response Theory (Part 1)

Lecture 07 - Linear Response Theory (Part 2)

Lecture 08 - Linear Response (Part 3)

Lecture 09 - Linear Response (Part 4)

Lecture 10 - Linear Response (Part 5)

Lecture 11 - Linear Response (Part 6)