Selected Papers on Noise and Stochastic Processes by N. Wax (Editor) (1-Jun-1954) Paperback

By Nelson Wax

Book Overview

These six classic papers on stochastic process were selected to meet the needs of professionals and advanced undergraduates and graduate students in physics, applied mathematics, and engineering.... This description may be from another edition of this product.

• Format: Unknown Binding
• ISBN: B013PSXPLY
• Release Date: January 1
• Publisher: Dover Publications
• Weight: 0.79 lbs.

Customer Reviews

The bible on stochastic processes..

For generations of physicists this book has been the bible on stochastic processes. Chandrakehar's article discusses discrete random walks and how to go over to the continuum limit of Gaussian processes. Wang and Uhlenbeck give a simple and clear derivation of the Fokker-Planck equation for Markov processes with volatility, with nonvolatile examples. They also define 'stationary processes' (statistical equilibrium) clearly, a definition that many economists and physicists should finally learn correctly. In the short chapter by Doob (paper from 1942) one finds a useful formulation of stochastic differential equations and stochastic integration, analogous to but far less general than Ito calculus. See also Stratonovich's vol. I for a more comprehensive treatment of stationary and nonstationary processes, also with examples, and buy a copy of Wax.

Excellent as an introduction and historical reference

Six classic papers! Every one of them worth reading even though the material is now considered standard. My personal favourites in this compilation are the papers by Chandrasekhar and Rice. Chandra's paper has a very nice treatment of Brownian motion and Markov processes. Like all his writings, this one is a work of art. Rice's treatment of noise is classic, and is a must for anyone wanting to understand the basics of noisy signal analysis. Other papers I found useful were by Uhlenbeck and Kac. A great compilation in one location, it is extremely unfortunate that this book is impossible to find. Dover should bring this book out again.

Excellent collection of classic references in the field.

The book is an excellent reference, and I highly recommend it. It is too bad it is out of print.