This book uniquely presents the theoretical treatment of random processes in physics and finance, including applications to laser and semiconductor physics, light propagation in scattering media and investment decisions.

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 Fokker-Planck equation ; 9. Langevin processes ; 10. Langevin treatment of the Fokker-Planck 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 the presence of smoothing and noise ; 16. Stochastic methods in investment decision ; 17. Spectral analysis of economic time series

`A rich selection of material, presented with insight and sophistication. ... full of wisdom, and rewarding for the expert.' Michael Shlesinger, Office of Naval Research, Arlington, VA `... clear and well organized, with effective pedagogy. An important book.' Morrel Cohen, Rutgers University `... 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 `Other departures from traditional mathematical finance texts make Lax's book a refreshing and much clearer read ... One hopes that this text will inspire other physics students to continue Lax's legacy and contribute to this growing, diverse field.' H. Eugene Stanley, Physics Today, 2008 `Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics.' Rosario Nunzio Mantegna, Nature Physics

A unique account from a physicist widely known for his contributions to random processes. Presents a critical viewpoint of mathematics currently used in the financial world. Tutorial style, based on many years of teaching.

Melvin Lax (Deceased) Distinguished Professor of Physics City College of New York Melvin Lax was a Distinguished Professor of Physics at the City College of the City University of New York (1971-2002), and a member of the U. S. National Academy of Sciences (1983-2002). He has been associated with Bell Laboratories as a member of the technical staff (1955-1972), as head of the Theoretical Physics Research Department (1962-1964) and as consultant to the Solid State Electronics Research Laboratory. After receiving his PhD in Physics from MIT (1947), Dr. Lax advanced from assistant to full professor of Physics at Syracuse University, (1947-55). He has also taught at Princeton (Spring 1961) and at Oxford (1961-1962). Dr. lax has published more than 200 papers. In 1999 Lax shared the Willis Lamb Medal for Laser Science and Quantum Optics. Dr. Lax was listed Who's Who in America. Wei Cai Senior research staff Institute for Ultrafast Spectroscopy and lasers Department of Physics City College of New York Wei Cai received Ph. D degree in Physics from University of Houston in 1985. He also received a MS degree in computer science from City College of City University of New York in 1992. He joined the Department of Physics at the City College of the City University of New York as a research associate in 1985. Recently, he is a senior member of the research staff at the Institute for Ultrafast Spectroscopy and Lasers. His main research interests are in radiative transfer and optical image processing. He has published 55 papers and holds 4 U. S. Patent. Min Xu Research staff Institute for Ultrafast Spectroscopy and lasers Department of Physics City College of New York Min Xu received Ph. D degree in Physics from City University of New York in 2001. He is currently a research associate at the Institute for Ultrafast Spectroscopy and Lasers. He works at the interface of physics, engineering and biomedical sciences. His main research interests are in optical physics, stochastic processes and inverse problems in physical and biological sciences, in particular, biomedical optical spectroscopy and imaging. He has published 30 peer-reviewed journal papers and holds 1 U. S. Patent.

A unique account from a physicist widely known for his contributions to random processes. Presents a critical viewpoint of mathematics currently used in the financial world. Tutorial style, based on many years of teaching.