Brownian functionals and their applications

Satya Majumdar (LPTMS Orsay)

2006-11-10 14:30, Salle Itzykson, IPhT
2006-11-17 14:30, Salle Itzykson, IPhT
2006-11-24 14:30, Salle Itzykson, IPhT
2006-12-01 14:30, Salle Itzykson, IPhT
2006-12-12 14:30, Salle Itzykson, IPhT
Approved by the École Doctorale ED 107

In these lectures I will discuss the properties of functionals of one-dimensional Brownian motion. These lectures will aim to provide a pedagogical introduction to the path integral methods leading to the derivation of the celebrated Feynman-Kac formula.

The usefulness of this technique in calculating the statistical properties of Brownian functionals will be illustrated with several examples in physics and probability theory, with particular emphasis on applications in computer science. The statistical properties of “first-passage Brownian functionals” and their applications will also be discussed.

IPhT Courses
Short course title: 
Brownian functionals
Arxiv classes: