Regensburg 2010 – scientific programme

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DY: Fachverband Dynamik und Statistische Physik

DY 7: Stochastic processes, brownian motion, and transport

DY 7.7: Talk

Tuesday, March 23, 2010, 11:15–11:30, H46

Diffusion and Extreme-Value Statistics — •Julien Randon-Furling — AG Rieger, Theoretische Physik, Univ. Saarland, Germany

The ubiquity of Brownian motion in both "natural" and "man-made" contexts (from particle diffusion to financial markets), together with its mathematical status as fundamental stochastic process, makes it of particular interest for theoretical physicists.

We shall review a number of new results involving Brownian motion, obtained using standard tools from statistical physics and linked to the statistics of extreme values. In particular, we will show how one can derive exact results on the geometry of the diffusion surface in 2 and 3 dimensions. These can be extended to so-called anomalous diffusion and other processes, eg partly Brownian - partly ballistic motion or collective motion, as we shall see in dimension 1 and/or 2.