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Random processes in physics and finance /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford :
Oxford University Press,
2006.
|
| Colección: | Oxford finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Lax, Melvin J., |e author. | |
| 245 | 1 | 0 | |a Random processes in physics and finance / |c Melvin Lax, Wei Cai, Min Xu. |
| 260 | |a Oxford : |b Oxford University Press, |c 2006. | ||
| 300 | |a 1 online resource (xiii, 327 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Oxford finance series | |
| 504 | |a Includes bibliographical references (pages 307-321) and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a 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. | |
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 16 Stochastic methods in investment decision17 Spectral analysis of economic time series; Bibliography; Index. | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stochastic processes. | |
| 650 | 0 | |a Finance |x Statistical methods. | |
| 650 | 2 | |a Stochastic Processes | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Finances |x Méthodes statistiques. | |
| 650 | 7 | |a SCIENCE |x Physics |x Mathematical & Computational. |2 bisacsh | |
| 650 | 7 | |a Finance |x Statistical methods |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 700 | 1 | |a Cai, Wei, |d 1941- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjJgQm4WmRfGGHByFhQ7BP | |
| 700 | 1 | |a Xu, Min, |d 1969- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjDRHRWPdwKryXgxBY4Qbd | |
| 758 | |i has work: |a Random processes in physics and finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGMkMqwJV7M98YYrvGJwfq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Lax, Melvin J. |t Random processes in physics and finance. |d Oxford : Oxford University Press, 2006 |z 9780198567769 |z 0198567766 |w (DLC) 2007295089 |w (OCoLC)70229861 |
| 830 | 0 | |a Oxford finance series. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=430381 |z Texto completo |
| 880 | 8 | |6 505-00/(S |a 4.1 Introduction: An approach to the spectrum of a stochastic process4.2 The definitions of the noise spectrum; 4.3 The Wiener-Khinchine theorem; 4.4 Noise measurements; 4.5 Evenness in ω of the noise; 4.6 Noise for nonstationary random variables; 4.7 Appendix A: Complex variable notation; 5 Thermal noise; 5.1 Johnson noise; 5.2 Equipartition; 5.3 Thermodynamic derivation of Johnson noise; 5.4 Nyquist's theorem; 5.5 Nyquist noise and the Einstein relation; 5.6 Frequency dependent diffusion constant; 6 Shot noise; 6.1 Definition of shot noise; 6.2 Campbell's two theorems. | |
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