Random Processes in Physics and Finance

Paperback | September 1, 2013

byMelvin Lax, Wei Cai, Min Xu

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This text is aimed at professionals and students working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002), was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences,widely known for his contribution on random processes in physics. Most chapters of this book are the outcome of the class notes which Lax taught at the City University of New York from 1985 to 2001. The material is unique as it presents the theoretical framework of Lax's treatment of random processes, starting from basic probability theory, to Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanation of very narrow laser width and analytical solution of theelastic Boltzmann transport equation. Lax's critical viewpoint on mathematics currently used in the financial world is also presented in this book.

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This text is aimed at professionals and students working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002), was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences,widely known for his contribution on random p...

Melvin Lax was a Distinguished Professor of Physics at the City College of the City University of New York (1971-2002), and a member of the U. S. National Academy of Sciences (1983-2002). He has been associated with Bell Laboratories as a member of the technical staff (1955-1972), as head of the Theoretical Physics Research Department...

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Paperback|Mar 14 2012

$21.75 online$33.95list price(save 35%)
Format:PaperbackDimensions:344 pagesPublished:September 1, 2013Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199673802

ISBN - 13:9780199673803

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Table of Contents

1. Review of Probability2. What is a random process3. Examples of Markovian processes4. Spectral measurement and correlation5. Thermal noise6. Shot noise7. The fluctuation-dissipation theorem8. Generalized Fokker-Planck equation9. Langevin processes10. Langevin treatment of the Fokker-Planck process11. The rotating wave van del Pol oscillator (RWVP)12. Noise in homogeneous semiconductors13. Random walk of light in turbid media14. Analytical solution of the elastic transport equation15. Signal extraction in the presence of smoothing and noise16. Stochastic methods in investment decision17. Spectral analysis of economic time series

Editorial Reviews

"Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics." --Rosario Nunzio Mantegna, Nature Physics