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1、AnIntroductiontoStochasticProcessesinPhysicsAnIntroductiontoStochasticProcessesinPhysicsContainingOntheTheoryofBrownianMotionbyPaulLangevin,translatedbyAnthonyGythielDONS.LEMONSTHEJOHNSHOPKINSUNIVERSITYPRESSBALTIMOREANDLONDONCopyrightc2002TheJohnsHopkinsUniversit
2、yPressAllrightsreserved.Published2002PrintedintheUnitedStatesofAmericaonacid-freepaper987654321TheJohnsHopkinsUniversityPress2715NorthCharlesStreetBaltimore,Maryland21218-4363www.press.jhu.eduLibraryofCongressCataloging-in-PublicationDataLemons,DonS.(DonStephen),1
3、949Anintroductiontostochasticprocessesinphysics/byDonS.Lemonsp.cm.Includesbibliographicalreferencesandindex.ISBN0-8018-6866-1(alk.paper)ISBN0-8018-6867-X(pbk.:alk.paper)1.Stochasticprocesses.2.Mathematicalphysics.I.Langevin,Paul,18721946.II.Title.QC20.7.S8L4520015
4、30.15923dc212001046459AcatalogrecordforthisbookisavailablefromtheBritishLibraryForAllison,Nathan,andMicahContentsPrefaceandAcknowledgmentsxiChapter1RandomVariables11.1RandomandSureVariables11.2AssigningProbabilities21.3TheMeaningofIndependence4Problems:1.1.CoinFl
5、ipping,1.2.IndependentFailureModes5Chapter2ExpectedValues72.1Moments72.2MeanSumTheorem92.3VarianceSumTheorem102.4CombiningMeasurements12Problems:2.1.DiceParameters,2.2.PerfectLinearCorrelation,2.3.ResistorsinSeries,2.4.DensityFluctuations14Chapter3RandomSteps173.1
6、BrownianMotionDescribed173.2BrownianMotionModeled183.3CritiqueandProspect19Problems:3.1.Two-DimensionalRandomWalk,3.2.RandomWalkwithHesitation,3.3.MultistepWalk,3.4.Autocorrelation,3.5.FrequencyofHeads20Chapter4ContinuousRandomVariables234.1ProbabilityDensities234
7、.2Uniform,Normal,andCauchyDensities244.3Moment-GeneratingFunctions27Problems:4.1.Single-SlitDiffraction,4.2.MomentsofaNormal,4.3.ExponentialRandomVariable,4.4.PoissonRandomVariable29Chapter5NormalVariableTheorems335.1NormalLinearTransformTheorem335.2NormalSumTheor
8、em345.3JointlyNormalVariables35viiiCONTENTS5.4CentralLimitTheorem36Problems:5.1.UniformLinearTransform,5.2.AddingUniformVariables,5.3.DependentNormals39
