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Random Processes in Physics and Finance

Author

Listed:
  • Lax, Melvin

    (Department of Physics, City University of New York)

  • Cai, Wei

    (Department of Physics, City University of New York)

  • Xu, Min

    (Department of Physics, City University of New York)

Abstract

This respected high-level text is aimed at students and professionals working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002) was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences, and is widely known for his contributions to our understanding of random processes in physics. Most chapters of this book are outcomes of the class notes which Lax 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, from basic probability theory to Fokker-Planck and Langevin Processes, and 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. Available in OSO: http://www.oxfordscholarship.com/oso/public/content/physics/9780198567769/toc.html

Suggested Citation

  • Lax, Melvin & Cai, Wei & Xu, Min, 2006. "Random Processes in Physics and Finance," OUP Catalogue, Oxford University Press, number 9780198567769.
    • Handle: RePEc:oxp:obooks:9780198567769
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    Cited by:

    1. G., Mauricio Contreras & Peña, Juan Pablo, 2019. "The quantum dark side of the optimal control theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 450-473.
    2. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    3. Julius Ruseckas & Vygintas Gontis & Bronislovas Kaulakys, 2012. "Nonextensive Statistical Mechanics Distributions And Dynamics Of Financial Observables From The Nonlinear Stochastic Differential Equations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(supp0), pages 1-13.
    4. Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed, 2009. "Pricing European Options with a Log Student's t-Distribution: a Gosset Formula," Papers 0906.4092, arXiv.org.
    5. Cassidy, Daniel T. & Hamp, Michael J. & Ouyed, Rachid, 2010. "Pricing European options with a log Student’s t-distribution: A Gosset formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5736-5748.
    6. Zhang, Pu & Sun, Qi & Xiao, Wei-Lin, 2014. "Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm," Economic Modelling, Elsevier, vol. 40(C), pages 314-319.
    7. Kostić, Srđan & Vasović, Nebojša & Todorović, Kristina & Franović, Igor, 2020. "EFFECT of colored noise on the generation of seismic fault MOVEMENT: Analogy with spring-block model DYNAMICS," Chaos, Solitons & Fractals, Elsevier, vol. 135(C).

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