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Random Processes in Physics and Finance
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
342 pages; ISBN 9780191513787