Customer Reviews

Selected Papers on Noise and Stochastic Processes

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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.

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

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.

I've had this classic for years and have read it from cover to cover several times over. When Dr. Mandelbrot mentioned Martingales it didn't
help. When a friend needed help on the definition of delta correlation it didn't help. When one has to deal with chaotic or fractal noise it can't
help either. It is very good at defining a Brownian or Gaussian noise as Einstein might have wanted it at least a century ago, but for modern
noise it doesn't even give a method of producing
a random function of any kind. I would search for a more modern text ...