Random Processes in Physics and Finance

Melvin Lax was a member of the US National Academy of Sciences, and widely known for his contributions in the field of random processes in physics. This book uniquely presents Lax's theoretical treatment of random processes, including applications to laser and semiconductor physics, light propagation in scattering media, and investment decisions. - ;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. - ;But aside from its teaching qualities the book is a pleasure to read even for the expert. I warmly recommend this book for both, the beginner and the professional. Journal of Statistical Physics (2008) 130:821 - ;'Other departures from traditional mathematical finance texts make Lax's book a refreshing and much clearer read...One hope that this text will inspire other physics students to continue Lax's legacy and contribute to this growing, diverse field.' Physics Today, January 2008. - ;Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics. - Rosario Nunzio Mantegna, Nature Physics, Vol 3