Random processes in physics and finance

Random processes in physics and finance / Melvin Lax, Wei Cai, Min Xu.

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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Bibliographic Details
Main Authors: Lax, Melvin J. (Author), Cai, Wei, 1941- (Author), Xu, Min, 1969- (Author)
Format: eBook
Language:English
Published: Oxford : Oxford University Press, 2006.
Series:Oxford finance series.
Subjects:
Stochastic processes.
Finance > Statistical methods.
SCIENCE > Physics > Mathematical & Computational.
Finance > Statistical methods
Stochastic processes
Online Access:Click for online access
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Table of 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.

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