Shahid Beheshti University

Department of Physics

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Stochastic Processes (Winter-Spring 2021)

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Advanced course on Stochastic Processes for Ph.D. and MS students  (Winter-Spring 2021)

This course is devoted to advanced and more recent topics in stochastic processes and fields.

Link for class

Link for my previous lectures on Stochastic Processes (2021) (VPN needed)

Link for my previous lectures on Computational Physics

Some topics to teach are as follows:

  • Error estimation
  • Multivariate PDF and associated transformations
  • Weighted and Un-weighted Two-Point correlation function of different features
  • Stochastic modelling
  • Master equations
  • Fokker-Planck equation
  • Covariant form of Fokker-Planck equation
  • Topological and geometrical features of Stochastic fields
  • Perturbative approach for Non-Gaussian fields

For mathematical definition of Random Fields:

1- The Geometry of Random Fields, Robert J Adler, 1981.

2- Topological Complexity of Smooth Random Functions, Adler, Robert,Taylor, Jonathan E., Springer, 2009.

3- Geometry, Topology and Physics (Graduate Student Series in Physics) by Mikio Nakahara, 1990.

For Stochastic Processes:

4- M. Reza Rahimi Tabar, Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems, Using the Methods of Stochastic Processes, Springer, 2019

5- Rudolf Friedrich, Joachim Peinke, Muhammad Sahimi, M. Reza Rahimi Tabar, Physics Reports 506 162–87 (2011)

6- Risken, Hannes, Frank, Till,The Fokker-Planck Equation Methods of Solution and Applications, Springer 1996.

7- An Introduction to Stochastic Processes in Physics Kindle Edition by Don S. Lemons, 2003.

8- An Introduction to Random Vibrations, Spectral & Wavelet Analysis: Third Edition (Dover Civil and Mechanical Engineering)

9- Probability, Random Variables and Stochastic Processes 4th Edition, by Athanasios Papoulis, S. Unnikrishna Pillai, McGraw-Hill Europe; 4th edition (January 1, 2002).

10- Stochastic Modelling for Systems Biology (Chapman & Hall/CRC Mathematical and Computational Biology Book 44) 2nd Edition, Kindle Edition, by Darren J. Wilkinson, 2011.

11- Independent Component Analysis, Aapo Hyvärinen, Juha Karhunen, Erkki Oja, 2001.

12- Nonlinear Time Series Analysis 2nd Edition by Holger Kantz, 2003.

13- Brownian motion and Stochastic Calculus, 2nd Edition, Ioannis Karatzas, Steven E. Shreve, 1996.


Other related materials and courses


Some of my lectures on the Board

Midterm exam:  (Download) 1400/02/09 ,  Answer-key (Download)

Final exam:



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Last Updated on Friday, 29 April 2022 14:41