The course is devoted to analytical methods for partial differential equations of mathematical physics. Review of separation of variables. Laplace Equation: potential theory, eigenfunction expansions, ...
Brownian motion and Langevin's equation. Ito and Stratonovich Stochastic integrals. Stochastic calculus and Ito's formula. SDEs and PDEs of Kolmogorov. Fokker-Planck, and Dynkin. Boundary conditions, ...
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