Brownian Models of Performance and Control
eBook - PDF

Brownian Models of Performance and Control

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Brownian Models of Performance and Control

About this book

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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Yes, you can access Brownian Models of Performance and Control by J. Michael Harrison in PDF and/or ePUB format, as well as other popular books in Mathematics & Probability & Statistics. We have over one million books available in our catalogue for you to explore.

Table of contents

  1. Cover
  2. Half-title page
  3. Title page
  4. Copyright page
  5. Contents
  6. Preface
  7. Guide to Notation and Terminology
  8. 1 Brownian Motion
  9. 2 Stochastic Storage Models
  10. 3 Further Analysis of Brownian Motion
  11. 4 Stochastic Calculus
  12. 5 Optimal Stopping of Brownian Motion
  13. 6 Reflected Brownian Motion
  14. 7 Optimal Control of Brownian Motion
  15. 8 Brownian Models of Dynamic Inference
  16. 9 Further Examples
  17. Appendix A Stochastic Processes
  18. Appendix B Real Analysis
  19. References
  20. Index