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Random processes in physics and finance

Author: Melvin J Lax; Wei Cai; Min Xu
Publisher: Oxford : Oxford University Press, 2006.
Series: Oxford finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This text is aimed at students and professionals working on random processes in various areas, including physics and finance. The material presents the theoretical framework which Melvin Lax taught at the City University of New York from 1985 to 2001.
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Genre/Form: Electronic book
Electronic books
Additional Physical Format: Print version:
Lax, Melvin J.
Random processes in physics and finance.
Oxford : Oxford University Press, 2006
(DLC) 2007295089
(OCoLC)70229861
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Melvin J Lax; Wei Cai; Min Xu
ISBN: 9780191513787 0191513784 1280845651 9781280845659 9781429459327 1429459328 9786610845651 6610845654 0199673802 9780199673803
OCLC Number: 100000016
Language Note: English.
Description: 1 online resource (xiii, 327 pages) : illustrations.
Contents: Contents; A Note from Co-authors; 1 Review of probability; 2 What is a random process; 3 Examples of Markovian processes; 4 Spectral measurement and correlation; 5 Thermal noise; 6 Shot noise; 7 The fluctuation-dissipation theorem; 8 Generalized FokkerPlanck equation; 9 Langevin processes; 10 Langevin treatment of the FokkerPlanck process; 11 The rotating wave van del Pol oscillator (RWVP); 12 Noise in homogeneous semiconductors; 13 Random walk of light in turbid media; 14 Analytical solution of the elastic transport equation; 15 Signal extraction in presence of smoothing and noise. 16 Stochastic methods in investment decision17 Spectral analysis of economic time series; Bibliography; Index.
Series Title: Oxford finance series.
Responsibility: Melvin Lax, Wei Cai, Min Xu.
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Abstract:

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  Read more...

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Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics. * Rosario Nunzio Mantegna, Nature Physics, Vol 3 * 'Other departures from traditional Read more...

 
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