18.366 | Fall 2006 | Graduate

Random Walks and Diffusion

Lecture Notes

lec14.pdf

Description:

Includes topics: Physical model, biased Bernoulli walk, biased continuous stochastic process, diffusion in a harmonic potential, PDF of the Ornstein-Uhlenbeck process, and derivation from the stochastic differential equation.

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Lecture Notes
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Fall 2006
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Graduate
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