Brownian Models of Performance and Control

Nonfiction, Science & Nature, Mathematics, Probability, Statistics
Cover of the book Brownian Models of Performance and Control by J. Michael Harrison, Cambridge University Press
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Author: J. Michael Harrison ISBN: 9781107502017
Publisher: Cambridge University Press Publication: December 2, 2013
Imprint: Cambridge University Press Language: English
Author: J. Michael Harrison
ISBN: 9781107502017
Publisher: Cambridge University Press
Publication: December 2, 2013
Imprint: Cambridge University Press
Language: English

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level, and illustrates the use of that theory in various application domains, emphasizing business and economics. The mathematical development is narrowly focused and briskly paced, with many concrete calculations and a minimum of abstract notation. The applications discussed include: the role of reflected Brownian motion as a storage model, queuing model, or inventory model; optimal stopping problems for Brownian motion, including the influential McDonald–Siegel investment model; optimal control of Brownian motion via barrier policies, including optimal control of Brownian storage systems; and Brownian models of dynamic inference, also called Brownian learning models or Brownian filtering models.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level, and illustrates the use of that theory in various application domains, emphasizing business and economics. The mathematical development is narrowly focused and briskly paced, with many concrete calculations and a minimum of abstract notation. The applications discussed include: the role of reflected Brownian motion as a storage model, queuing model, or inventory model; optimal stopping problems for Brownian motion, including the influential McDonald–Siegel investment model; optimal control of Brownian motion via barrier policies, including optimal control of Brownian storage systems; and Brownian models of dynamic inference, also called Brownian learning models or Brownian filtering models.

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