Six classic papers on stochastic process, selected to meet the needs of physicists, applied mathematicians, and engineers. Contents: 1.Chandrasekhar, S.: Stochastic Problems in Physics and Astronomy. 2. Uhlenbeck, G. E. and Ornstein, L. S.: On the Theory of the Browninan Motion. 3. Ming Chen Wang and Uhlenbeck, G. E.: On the Theory of the Browninan Motion II. 4. Rice, S. O.: Mathematical Analysis of Random Noise. 5. Kac, Mark: Random Walk and the Theory of Brownian Motion. 6. Doob, J. L.: The Brownian Movement and Stochastic Equations. Unabridged republication of the Dover reprint (1954). Preface.
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Most Helpful Customer Reviews
4 of 4 people found the following review helpful:
5.0 out of 5 stars
Excellent as an introduction and historical reference,
This review is from: Selected Papers on Noise and Stochastic Processes (Paperback)
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.
2 of 2 people found the following review helpful:
4.0 out of 5 stars
Excellent collection of classic references in the field.,
By albright@physics.ucla.edu (Los Angeles, CA, USA) - See all my reviews
This review is from: Selected Papers on Noise and Stochastic Processes (Paperback)
The book is an excellent reference, and I highly recommend it. It is too bad it is out of print.
1 of 2 people found the following review helpful:
5.0 out of 5 stars
The bible on stochastic processes..,
By Professor Joseph L. McCauley "Joseph L. McCauley" (Austria+Texas) - See all my reviews
This review is from: Selected Papers on Noise and Stochastic Processes (Paperback)
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.
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