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Description of  Langevin and Fokker-Planck Equations and their Generalizations: Descriptions and Solutions

This invaluable book provides a broad introduction to a rapidly growing area of nonequilibrium statistical physics. The first part of the book complements the classical book on the Langevin and FokkerPlanck equations (H. Risken, The FokkerPlanck Equation: Methods of Solution and Applications (Springer, 1996)). Some topics and methods of solutions are presented and discussed in details which are not described in Risken's book, such as the method of similarity solution, the method of characteristics, transformation of diffusion processes into the Wiener process in different prescriptions, harmonic noise and relativistic Brownian motion. Connection between the Langevin equation and Tsallis distribution is also discussed. Read more