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Suitable for lecture courses on Brownian motion, this study includes coverage of the following topics: white noise, the Chapman-Kolmogorov equation - Kramers-Moyal expansion, Langevin equation, Fokker-Planck equation, Brownian motion of a free particle, and spectral density.

This volume is the second edition of the first-ever elementary book on the Langevin equation method for the solution of problems involving the Brownian motion in a potential, with emphasis on modern applications in the natural sciences, electrical engineering and so on. It has been substantially enlarged to cover in a succinct manner a number of new topics, such as anomalous diffusion contiguous time random walks, stochastic resonance etc, whi...