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Statistical Physics pp 161–219Cite as

Time-Dependent Random Variables: Classical Stochastic Processes

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Abstract

f one considers a random variable which depends on time, one is led to the concept of a stochastic process. After the definition of a general stochastic process in Sect. 5.1, we introduce the class of Markov processes. In Sect. 5.2 the master equation is formulated, an equation describing the time evolution of the probability density of a Markov process. In this context, the relevance of the master equation for the description of the dynamics of general open systems will be emphasized.

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  1. Fakultät für Mathematilk und Physik, Albert-Ludwigs-Universität Freiburg, Freiburg, Germany

    Josef Honerkamp

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Honerkamp, J. (2012). Time-Dependent Random Variables: Classical Stochastic Processes. In: Statistical Physics. Graduate Texts in Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28684-1_5

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