Mathematics 220, spring 2011, Stochastic methods in mathematics and science.
Instructor: Alexandre Chorin, 911 Evans Hall, chorin@math.berkeley.edu
Textbook: Chorin and Hald, Stochastic tools for mathematics and science (download below).
Syllabus: Introduction to least squares methods and probability, stochastic processes and Brownian
motion, Wiener integrals and Feynman diagrams with applications to linear and nonlinear differential equations,
The Langevin and Fokker-Planck equations, stationary processes, filters and data assimilation, introduction to
statistical mechanics and irreversible processes, renormalization and Monte Carlo methods.
Homework will be assigned on the web each Monday and will be due 9 days later.
The grading will be based on the homework.