Lesson 6 (3/5). Stochastic differential equations. Part 3

Lecture for the course Statistical Physics (Master on Plasma Physics and Nuclear Fusion). Universidad Complutense de Madrid.
Course webpage:
seneca.fis.ucm....

[@thanosathanasopoulos7529]

May I ask? I might be wrong but Ito calculus seems to have a problem with oscillating terms. Assume that instead of dot(x) we had i dot(x). Then we would expect that the fluctuations and random noises would just change the frequencies in the problem. But due to the extra term, g^2 ->-g^2 we would have a d.amping. Why? What do I miss?

[@franziss1]

Thank you Prof Parrondo for your wonderful lectures! I have watched your Part 1-3 and you have demystified the complex world of SDE! Can I ask how did you derive \sigma^2 \Delta t at 8:44 mins? I am confused. Is it because dW is \Delta x and in your earlier videos, you define \frac{\Deltax^2}{\Delta t} = \sigma^2?

[@erny.wijayanti]

cool, thank you very much for the lecture Prof. Could you please post some videos about SPDE (Stochastic Partial Differential Equation)?

[@jayantapari9114]

really enjoyable lecture

[@joshuayao6236]

Bravo, I am your fan now. Please post the whole lectures.

[@juanmrparrondo1375]

Thanks!! You have all the lectures on my channel