Brownian Models of Performance and Control (BOK)

J Michael Harrison

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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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2013 Forfatter J Michael Harrison
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9781107018396
Antall sider 205 Dimensjoner 15,2cm x 22,8cm x 2cm
Vekt 430 gram Leverandør Bertram Trading Ltd