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Random Processes in Physics and Finance

Random Processes in Physics and Finance

ISBN 9780199673803
Publication Date
Publisher Oxford University Press
Author(s)
Overview
This text is aimed at professionals and students working on random processes in various areas, including physics and finance. Most chapters of this book are the outcome of the class notes which Melvin Lax (1922-2002) 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.
Overview
This text is aimed at professionals and students working on random processes in various areas, including physics and finance. Most chapters of this book are the outcome of the class notes which Melvin Lax (1922-2002) 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.

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