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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Lax, Melvin J. (Autor), Cai, Wei, 1941- (Autor), Xu, Min, 1969- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford : Oxford University Press, 2006.
Colección:Oxford finance series.
Temas:
Stochastic processes.
Finance > Statistical methods.
Stochastic Processes
Processus stochastiques.
Finances > Méthodes statistiques.
SCIENCE > Physics > Mathematical & Computational.
Finance > Statistical methods
Stochastic processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.
  • 16 Stochastic methods in investment decision17 Spectral analysis of economic time series; Bibliography; Index.

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