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## Random Processes in Physics and Finance

*Melvin Lax, Wei Cai, and Min Xu*

- Published in print:
- 2006
- Published Online:
- January 2010
- ISBN:
- 9780198567769
- eISBN:
- 9780191718359
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198567769.001.0001
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

This book discusses random processes in physics, from basic probability theory to the Fokker-Planck process and Langevin equation for the Fokker Planck process and diffusion. It includes diverse ... More

## What is a random process

*Melvin Lax, Wei Cai, and Min Xu*

### in Random Processes in Physics and Finance

- Published in print:
- 2006
- Published Online:
- January 2010
- ISBN:
- 9780198567769
- eISBN:
- 9780191718359
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198567769.003.0002
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

A random or stochastic process is a random variable that evolves in time by some random mechanism (of course, the time variable can be replaced by a space variable, or some other variable, in ... More

## STOCHASTIC SET-BACKS

*David Stirzaker*

### in Combinatorics, Complexity, and Chance: A Tribute to Dominic Welsh

- Published in print:
- 2007
- Published Online:
- September 2007
- ISBN:
- 9780198571278
- eISBN:
- 9780191718885
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198571278.003.0018
- Subject:
- Mathematics, Probability / Statistics

This chapter examines a random process (X(t):t ≥ 0) taking values in R, that is governed by the events of an independent renewal process N(t), as follows: whenever an event of N(t) occurs, the ... More

## Analysis of Crossword Puzzle Difficulty Using a Random Graph Process

*John K. McSweeney*

### in The Mathematics of Various Entertaining Subjects: Research in Recreational Math

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691164038
- eISBN:
- 9781400881338
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691164038.003.0008
- Subject:
- Mathematics, History of Mathematics

This chapter quantifies the dynamics of a crossword puzzle by using a network structure to model it. Specifically, the chapter determines how the interaction between the structure of cells in the ... More

## STOCHASTIC PROCESSES

*Robert M. Mazo*

### in Brownian Motion: Fluctuations, Dynamics, and Applications

- Published in print:
- 2008
- Published Online:
- January 2010
- ISBN:
- 9780199556441
- eISBN:
- 9780191705625
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199556441.003.0003
- Subject:
- Physics, Condensed Matter Physics / Materials

This chapter extends the ideas of Chapter 2 by introducing the notion of stochastic process or random process and its distribution functions. The idea of a Markov process is defined. The ... More

## Stochastic Population Processes: Analysis, Approximations, Simulations

*Eric Renshaw*

- Published in print:
- 2011
- Published Online:
- September 2011
- ISBN:
- 9780199575312
- eISBN:
- 9780191728778
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199575312.001.0001
- Subject:
- Mathematics, Applied Mathematics, Mathematical Biology

The vast majority of random processes in the real world have no memory — the next step in their development depends purely on their current state. Stochastic realizations are therefore defined purely ... More

## Randomness

*Peter Coles*

### in From Cosmos to Chaos: The Science of Unpredictability

- Published in print:
- 2006
- Published Online:
- January 2010
- ISBN:
- 9780198567622
- eISBN:
- 9780191718250
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198567622.003.0005
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

This chapter examines randomness and how it applies (or does not) in both abstract mathematics and in physical systems. There are many different ways in which a sequence of events could be said to be ... More

## Examples of Markovian processes

*Melvin Lax, Wei Cai, and Min Xu*

### in Random Processes in Physics and Finance

- Published in print:
- 2006
- Published Online:
- January 2010
- ISBN:
- 9780198567769
- eISBN:
- 9780191718359
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198567769.003.0003
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

Consider two physical problems describable by the same random process. The first process is the radioactive decay of a collection of nuclei. The second is the production of photoelectrons by a steady ... More

## Non-Linear Cointegration in Foreign Exchange

*Bernt P. Stigum*

### in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

- Published in print:
- 2014
- Published Online:
- September 2015
- ISBN:
- 9780262028585
- eISBN:
- 9780262323109
- Item type:
- chapter

- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262028585.003.0008
- Subject:
- Economics and Finance, Econometrics

Chapter VIII presents a novel mathematical theory of non-linear cointegration among second-order random processes. It begins by explaining why the accepted characterization of integrated second-order ... More

## Real-valued Random Processes

*Arno Berger and Theodore P. Hill*

### in An Introduction to Benford's Law

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691163062
- eISBN:
- 9781400866588
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691163062.003.0008
- Subject:
- Mathematics, Probability / Statistics

Benford's law arises naturally in a variety of stochastic settings, including products of independent random variables, mixtures of random samples from different distributions, and iterations of ... More

## A Short Introduction to the Mathematical Theory of Benfordʼs Law

*Arno Berger and T. P. Hill*

### in Benford's Law: Theory and Applications

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691147611
- eISBN:
- 9781400866595
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691147611.003.0002
- Subject:
- Mathematics, Probability / Statistics

This chapter embarks on a brief discussion of the mathematical theory of Benford's law. This law is the observation that in many collections of numbers, be they mathematical tables, real-life data, ... More

## Introduction to Probability

*Therese M. Donovan and Ruth M. Mickey*

### in Bayesian Statistics for Beginners: a step-by-step approach

- Published in print:
- 2019
- Published Online:
- July 2019
- ISBN:
- 9780198841296
- eISBN:
- 9780191876820
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198841296.003.0001
- Subject:
- Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies

In this chapter, the concept of probability is introduced. The rolling of a die is an example of a random process: the face that comes up is subject to chance. In probability, the goal is to quantify ... More

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