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Brownian motion is a stochastic process, continuous in space and time, used in several domains in physics. It is the motion followed by a point which velocity is a white Gaussian noise. This tag sould be used for questions concerning the properties of Brownian motion, white Gaussian noise and physical models using these concepts, like Langevin equations. It should not be used for questions about discrete random walks.

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Path integral for brownian motion in a harmonic potential

The problem is as follows: Use the path-integral formulation of stochastic dynamics for a particle in a harmonic potential $U(r)= \frac{1}{2}kr^2$ to show that $$P(x,t|x_0,t_0)=(\frac{\beta k}{2\pi ( …
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