This book discusses random processes in physics, from basic probability theory to the Fokker-Planck process and Langevin equation for the Fokker Planck process and diffusion. It includes diverse applications, such as explanations of very narrow laser width, analytical solutions of the elastic Boltzmann transport equation, and a critical viewpoint of mathematics currently used in the world of finance. The name ‘econophysics’ has been used to denote the use of the mathematical techniques developed for the study of random processes in physical systems to applications in the economic and financial ... More

This book discusses random processes in physics, from basic probability theory to the Fokker-Planck process and Langevin equation for the Fokker Planck process and diffusion. It includes diverse applications, such as explanations of very narrow laser width, analytical solutions of the elastic Boltzmann transport equation, and a critical viewpoint of mathematics currently used in the world of finance. The name ‘econophysics’ has been used to denote the use of the mathematical techniques developed for the study of random processes in physical systems to applications in the economic and financial worlds. Since a substantial number of physicists are now employed in the financial arena or are doing research in this area, it is appropriate to give a course that emphasises and relates physical applications to financial applications. The course and text in this book differ from mathematical texts by emphasising the origins of noise, as opposed to an analysis of its transformation by linear and nonlinear devices. Among other topics, this book discusses thermal noise, shot noise, fluctuation-dissipation theorem, and delta functions.