The mathematics of stochastic processes is indispensable for modern research in theoretical biophysics, statistical mechanics, chemistry, and quantitative finance. This lecture aims to provide you with a solid understanding of the topic. The course starts with an introduction to the fundamental theoretical framework of stochastic processes and we will discuss analytical approaches as well as numerical recipes the simulation of stochastic processes. Focusing first on Markov processes in the classical realm, we will cover different types of Fokker-Planck equations, stochastic path integrals, as well as master equations. From there on, we will branch out to field theories (Doi-Peliti formalism) and renewal processes. The theory will be illustrated with numerous examples from the biophysics of molecular and cellular systems, financial mathematics, epidemiology, and active matter physics.

The 3+1 hours lecture course plus exercise class (seminar) accounts for 6 ECTS credit points.

The lecture covers the physics of soft condensed matter with outlook on modern aspects of active and living matter and medical applications. The topics covered are: (i) colloids, (ii) liquid crystals, (iii) polymers&gels, (iv) self-assembly&living matter. 

Participants should be part of the physics masters program. Basic knowledge in mechanics, electrostatics, optics and in particular statistical physics is required.