Random Processes in Physics and Finance
Series: Oxford Finance Series;
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Product details:
- Publisher OUP Oxford
- Date of Publication 5 October 2006
- ISBN 9780198567769
- Binding Hardback
- No. of pages342 pages
- Size 245x170x25 mm
- Weight 819 g
- Language English
- Illustrations 30 line drawings 0
Categories
Short description:
Melvin Lax was a member of the US National Academy of Sciences, and widely known for his contributions in the field of random processes in physics. This book uniquely presents Lax's theoretical treatment of random processes, including applications to laser and semiconductor physics, light propagation in scattering media, and investment decisions.
MoreLong description:
This respected high-level text is aimed at students and professionals 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, and is widely known for his contributions to our understanding of random processes in physics. Most chapters of this book are outcomes 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, from basic probability theory to Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanations of very narrow laser width, analytical solutions of the elastic Boltzmann transport equation, and a critical viewpoint of mathematics currently used in the world of finance.
But aside from its teaching qualities the book is a pleasure to read even for the expert. I warmly recommend this book for both, the beginner and the professional. Journal of Statistical Physics (2008) 130:821
Table of Contents:
Review of Probability
What is a Random Process
Examples of Markovian Processes
Spectral Measurement and Correlation
Thermal Noise
Shot Noise
The Fluctuation-Dissipation Theorem
Generalized Fokker-Planck Equation of Markov Process
Langevin Process
Langevin Treatment of the Fokker-Planck Process
The Rotating Wave Van Del Pol Oscillator (RWVP)
Noise in Homogeneous Semiconductors
Random Walk of Light in Turbid Media
Analytical Solution of the Elastic Boltzmann Transport Equation
Signal Extraction in the Presence of Smoothing and Noise
Stochastic Methods to Investment Decision
Spectral Analysis of Economic Time Series
