18.366
Random Walks and Diffusion
Fall 2006
This graduate-level subject explores various mathematical aspects of (discrete) random walks and (continuum) diffusion. Applications include polymers, disordered media, turbulence, diffusion-limited aggregation, granular flow, and derivative securities.
Readings
- Hughes, B. Random Walks and Random Environments . Vol. 1. Oxford, UK: Clarendon Press, 1996. ISBN: 0198537883.
- Redner, S. A Guide to First Passage Processes . Cambridge, UK: Cambridge University Press, 2001. ISBN: 0521652480.
- Risken, H. The Fokker-Planck Equation . 2nd ed. New York, NY: Springer-Verlag, 1989. ISBN: 0387504982.
- Bouchaud, J. P., and M. Potters. Theory of Financial Risks . Cambridge, UK: Cambridge University Press, 2000. ISBN: 0521782325.
- Crank, J. Mathematics of Diffusion . 2nd ed. Oxford, UK: Clarendon Press, 1975. ISBN: 0198533446.
- Rudnick, J., and G. Gaspari. Elements of the Random Walk . Cambridge, UK: Cambridge University Press, 2004. ISBN: 0521828910.
- Spitzer, F. Principles of the Random Walk . 2nd ed. New York, NY: Springer-Verlag, 2001. ISBN: 0387951547.
Sources
- Course catalogue ↗Historical OpenCourseWare
- MIT OCW syllabus ↗
- Historical MIT OpenCourseWare offering. Named reading entries and schedule topics are automatically extracted from the linked source pages.