Brownian Models of Performance and Control J Michael Harrison

ISBN: 9781107018396

Published: December 2nd 2013

Hardcover

216 pages


Description

Brownian Models of Performance and Control  by  J Michael Harrison

Brownian Models of Performance and Control by J Michael Harrison
December 2nd 2013 | Hardcover | PDF, EPUB, FB2, DjVu, AUDIO, mp3, ZIP | 216 pages | ISBN: 9781107018396 | 4.64 Mb

Direct and to the point, this book from one of the fields 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. TheMoreDirect and to the point, this book from one of the fields 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, queueing 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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