Fluctuations of the electrical current running through a nano-scale device reveal information beyond what is contained in the average current alone. In this talk I give an overview of my works on counting statistics, the stochastic theory of charge transport in nanostructures. As an illustrative example, I show how fluctuations of the current running through a nanoelectromechanical system yield useful information about the mechanical resonator. I then discuss recent measurements of high-order correlation functions (cumulants) and show why they in general oscillate as functions of basically any system parameter. In the last part of my talk, I present the theoretical explanation of recent finite-frequency noise measurements on a nano-scale capacitor. Relevant papers: Phys. Rev. Lett. 100, 150601 (2008), Proc. Natl. Acad. Sci. USA 106, 10116 (2009), Phys. Rev. B (R) (2010, in print)
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