Random Processes in Physics and Finance
Series: Oxford Finance Series;
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Product details:
- Publisher OUP Oxford
- Date of Publication 22 August 2013
- ISBN 9780199673803
- Binding Paperback
- No. of pages342 pages
- Size 239x169x19 mm
- Weight 566 g
- Language English
- Illustrations 30 line drawings 0
Categories
Short description:
This book uniquely presents the theoretical treatment of random processes in physics and finance, including applications to laser and semiconductor physics, light propagation in scattering media and investment decisions.
MoreLong description:
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 the elastic Boltzmann transport equation. Lax's critical viewpoint on mathematics currently used in the financial world is also presented in this book.
A rich selection of material, presented with insight and sophistication. ... full of wisdom, and rewarding for the expert.
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
Langevin processes
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 transport equation
Signal extraction in the presence of smoothing and noise
Stochastic methods in investment decision
Spectral analysis of economic time series
