v= white noise results from applying the overdamped limit to the Langevin equation of a free particle. The position of a Brownian particle in the overdamped limit is the Wsiener process, and the velocity is the white noise. If you include inertia, then the velocity is an Orstein-Uhlenbeck process, which tends to white noise when the correlation time goers to zero.
![The Feynman-Kac formula, partial differential equations and Brownian motion [QCT21/22, Seminar #12]](/img/1.gif)
Outstanding set of lectures on SDE
Thank you for the lecture series. Loved the combination of intuition and math. Amazing!
Very well done. You not only derive the equations, but explain the thought process involved in their development. Very helpful.
Thank you very much for the courses. I followed them part 1 to 5. It would be great if you could also post some lessons on PSDE :)
This lecture is very well organized and incredibly easy to follow. Thank you, professor!
very interesting sir...Please post more problems and theorems
could you kindly explain how v = white noise at around 24:20. Thanks!
v= white noise results from applying the overdamped limit to the Langevin equation of a free particle. The position of a Brownian particle in the overdamped limit is the Wsiener process, and the velocity is the white noise. If you include inertia, then the velocity is an Orstein-Uhlenbeck process, which tends to white noise when the correlation time goers to zero.