Overview

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.

Full Product Details

Author:   Melvin Lax (Department of Physics, City University of New York) ,  Wei Cai (Department of Physics, City University of New York) ,  Min Xu (Department of Physics, City University of New York)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 16.90cm , Height: 1.90cm , Length: 23.90cm
Weight:   0.566kg
ISBN:  

9780199673803

ISBN 10:   0199673802
Pages:   342
Publication Date:   22 August 2013
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Postgraduate, Research & Scholarly
Format:   Paperback
Publisher's Status:   Active
Availability:   To order  
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

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 Fokker-Planck equation 9: Langevin processes 10: Langevin treatment of the Fokker-Planck 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 the presence of smoothing and noise 16: Stochastic methods in investment decision 17: Spectral analysis of economic time series

Reviews

`A rich selection of material, presented with insight and sophistication. ... full of wisdom, and rewarding for the expert.' Michael Shlesinger, Office of Naval Research, Arlington, VA `... clear and well organized, with effective pedagogy. An important book.' Morrel Cohen, Rutgers University `... 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 `Other departures from traditional mathematical finance texts make Lax's book a refreshing and much clearer read ... One hopes that this text will inspire other physics students to continue Lax's legacy and contribute to this growing, diverse field.' H. Eugene Stanley, Physics Today, 2008 `Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics.' Rosario Nunzio Mantegna, Nature Physics

A rich selection of material, presented with insight and sophistication. ... full of wisdom, and rewarding for the expert. Michael Shlesinger, Office of Naval Research, Arlington, VA ... clear and well organized, with effective pedagogy. An important book. Morrel Cohen, Rutgers University ... 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 Other departures from traditional mathematical finance texts make Lax's book a refreshing and much clearer read ... One hopes that this text will inspire other physics students to continue Lax's legacy and contribute to this growing, diverse field. H. Eugene Stanley, Physics Today, 2008 Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics. Rosario Nunzio Mantegna, Nature Physics

Author Information

Melvin Lax (Deceased) Distinguished Professor of Physics City College of New York 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 (1962-1964) and as consultant to the Solid State Electronics Research Laboratory. After receiving his PhD in Physics from MIT (1947), Dr. Lax advanced from assistant to full professor of Physics at Syracuse University, (1947-55). He has also taught at Princeton (Spring 1961) and at Oxford (1961-1962). Dr. lax has published more than 200 papers. In 1999 Lax shared the Willis Lamb Medal for Laser Science and Quantum Optics. Dr. Lax was listed Who's Who in America. Wei Cai Senior research staff Institute for Ultrafast Spectroscopy and lasers Department of Physics City College of New York Wei Cai received Ph. D degree in Physics from University of Houston in 1985. He also received a MS degree in computer science from City College of City University of New York in 1992. He joined the Department of Physics at the City College of the City University of New York as a research associate in 1985. Recently, he is a senior member of the research staff at the Institute for Ultrafast Spectroscopy and Lasers. His main research interests are in radiative transfer and optical image processing. He has published 55 papers and holds 4 U. S. Patent. Min Xu Research staff Institute for Ultrafast Spectroscopy and lasers Department of Physics City College of New York Min Xu received Ph. D degree in Physics from City University of New York in 2001. He is currently a research associate at the Institute for Ultrafast Spectroscopy and Lasers. He works at the interface of physics, engineering and biomedical sciences. His main research interests are in optical physics, stochastic processes and inverse problems in physical and biological sciences, in particular, biomedical optical spectroscopy and imaging. He has published 30 peer-reviewed journal papers and holds 1 U. S. Patent.

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