ICTS Course no.: PHY-422.5

Venue: Online

Class timings: Wednesdays and Fridays 11:00-12:30 

First meeting: 21st January 2022

Course description: 

  1. Random walks including method of generating functions and the first passage problem 
  2. Basics of stochastic procceses and Markov processes.
  3. Brownian motion, classical and quantum Langevin equations.
  4. Path integral approaches and Fokker Planck equations  
  5. Correlation Functions and Spectral Densities; the Wiener-Khintchine theorem; light spectra; noise in a gravitational-wave detector
  6. Linear response theory and fluctuation dissipation relations
  7. Interacting particle systems: Glauber dynamics and Monte-Carlo simulations. 

The course will be aimed at understanding formalism through examples.

Requirements: Students should have a solid basic knowledge of statistical physics and quantum physics 


  1. Stochastic processes in physics and chemistry: van Kampen
  2. Nonequilibrium Statistical Physics: Noelle Pottier
  3. Random Walks and random environment: Barry D. Hughes (some relevant chapters)
  4. Stochastic processes in physics and astronomy, S. Chandrasekhar
  5. Brownian Functionals in physics and computer science, S. N. Majumdar
  6. Blandford and Thorne: Classical Physics: Chapter on Random Processes 

Other relevant references will be provided during the course.

Assessment:  Assignment (50%) + Examination (50%)