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CO905 Stochastic Processes

Online Course Materials

Lecturer: Stefan Grosskinsky

Final version of the course notes: notes_co905_10.pdf

Lectures: Thu 10-12 and Fri 10-12 in D1.07

Classes: Tue 14-16 and Fri 14-16 in D1.07

Vivas: Thu 11th Feb

Viva timetable

The vivas will take place in the workroom D1.13 on Thursday 11th February.
Remember that the first 3 minutes you should say something about a subject of your choice related to the module or the MIR@W day.

11:00 Chris Oates
  15:10 Yu-Xi Chau

11:20 Sergio Morales-Enciso   15:30 Leigh Robinson

11:40 Nicolai Peremezhney
  15:50 Pantelis Hadjipantelis

12:00 Matthew Graham
  16:10 Alistair Tucker

12:20 Anas Rana   16:30 Rebecca Langham      

Changes/Related Events

  • Thu 11th Feb and Fri 12th Feb no lectures due to vivas
  • Tue 9th Feb: Revision class (2-4pm)
  • Mon 8th Feb: MIR@W day Burgers equation and applications
    This event is officially part of the module and you are expected to attend...
  • Mon 11th Jan to Wed 13th Jan:
    Symposium workshop Non-equilibrium dynamics of spatially extended interacting particle systems
    This workshop is particularly suitable for CO905. You are encouraged to attend, please have a look at the abstracts. Most accessible should be talks on Tuesday and Wednesday.
  • There will be no class on Tue 12th Jan due to the workshop and on Fri 15th Jan due to the open day, lectures from 10-12 run as usual that week.


  • sheet1: Markov processes, random walks, branching processes (due 20.01., 25/100 marks)
  • sheet 2: continuous time Markov chains, birth-death processes, simulation of contact process (due 29.01., 25/100 marks)
  • sheet 3: Contact process (mean-field equation and simulation), Brownian motion (due 08.02., 25/100 marks)
  • paper presentation (in pairs) on 02.02. (25/100 marks)

Selection of papers for the presentations

    1. Rebecca and Yu-Xi
      J.L. Lebowitz: From Time-symmetric Microscopic Dynamics to Time-asymmetric Macroscopic Behavior: An Overview (arxiv:0709.0724) (PDF Document)
      (leave out section 9)
    2. E. Valdinoci: From the long jump random walk to the fractional Laplacian (arXiv:0901.3261) (PDF Document)
    3. Matthew and Pantelis
      J.D. Bancal, R. Pastor-Satorras: Steady-State Dynamics of the Forest Fire Model on Complex Networks (arXiv:0911.0569) (PDF Document)
    4. D. Foster, J. Foster, M. Paczuski, P. Grassberger: Clustering Phase Transitions and Hysteresis: Pitfalls in Constructing Network Ensembles (arXiv:0911.2055) (PDF Document)
    5. E. Abad, S.B. Yuste, K. Lindenberg: Reaction-Subdiffusion and Reaction-Superdiffusion Equations for Evanescent Particles Performing Continuous Time Random Walks (arXiv:0911.3137) (PDF Document)
    6. Chris and Nicolai
      R. Dickmann, R. Vidigal: Quasi-stationary distributions for stochastic processes with an absorbing state (J. Phys. A: Math. Gen. 35 (2002) 1147–1166) (PDF Document)
    7. Alistair and Sergio
      M. Assaf, B. Meerson: Spectral theory of metastability and extinction in a branching-annihilation reaction (PRE 75, 031122, 2007) (PDF Document)
    8. Anas and Leigh
      L. Kostal, P. Lansky, J-P. Rospars: Neuronal coding and spiking randomness (Europ. J. of Neuroscience, Vol. 26, pp. 2693–2701, 2007) (PDF Document)
    9. P. Lamsky, S. Ditlevsen: A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models (Biol Cybern (2008) 99:253–262) (PDF Document)

      Matlab and C stuff


      Additional Literature

      Important Relevant Scientists

      Andrey Markov, Robert Brown, Andrey Kolmogorov, Albert Einstein, Paul Langevin, Norbert Wiener, Paul Lévy, Max Planck, Adriaan Fokker, Kiyoshi Itō