Lecture Series on Differential Equations. Session 7. Stochastic Differential Equations.
Abstract
The Seventh Session, on Stochastic Differential Equations, included lectures by M. Kac, R. K. Getoor, H. P. /McKean, Jr. Professor Kac discussed the physical background of Langevin's equation. He essentially covered two problems: (a) Can one find a mechanical model of a heat bath, i.e., can one find a Hamiltonian and a coupling Hamiltonian such that the statistical description of the process will agree, to a good approximation, with that derived by using the Langevin's equation. (b) Can one justify Langevin's equation on the basis of a realistic model of a heat bath. Professor Getoor discussed the relationship between Markov processes and potential theory. Professor McKean's paper entitled 'Propagation of Chaos for a Class of Non-Linear Parabolic Equations', describes the class of motions under consideration, indicates a method of construction for this motion and indicates a proof of the appropriate propagation chaos. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- May 01, 1969
- Accession Number
- AD0852680
Entities
People
- H. P. Mckean Jr
- M. Kac
- R. K. Getoor
Organizations
- Georgetown University