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Random Processes in Physics and Finance
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Random Processes in Physics and Finance

Melvin Lax, Wei Cai, and Min Xu

Abstract

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

Keywords: random processes, probability theory, Fokker-Planck process, Langevin equation, Boltzmann transport equation, noise, delta functions, fluctuation-dissipation theorem

Bibliographic Information

Print publication date: 2006 Print ISBN-13: 9780198567769
Published to Oxford Scholarship Online: January 2010 DOI:10.1093/acprof:oso/9780198567769.001.0001

Authors

Affiliations are at time of print publication.

Melvin Lax, author
Department of Physics, City University of New York

Wei Cai, author
Department of Physics, City University of New York

Min Xu, author
Department of Physics, City University of New York

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