Brownian Models of Performance and Control
Author:   J. Michael Harrison (Stanford University, California)
Publisher:   Cambridge University Press
ISBN:  

9781107018396


Pages:   205
Publication Date:   02 December 2013
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
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Brownian Models of Performance and Control


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Author:   J. Michael Harrison (Stanford University, California)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
Dimensions:   Width: 15.80cm , Height: 2.00cm , Length: 23.50cm
Weight:   0.450kg
ISBN:  

9781107018396


ISBN 10:   1107018390
Pages:   205
Publication Date:   02 December 2013
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1. Brownian motion; 2. Stochastic storage models; 3. Further analysis of Brownian motion; 4. Stochastic calculus; 5. Optimally stopping a Brownian motion; 6. Reflected Brownian motion; 7. Optimal control of Brownian motion; 8. Brownian models of dynamic inference; 9. Further examples; Appendix A. Stochastic processes; Appendix B. Real analysis.

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Author Information

J. Michael Harrison has developed and analyzed stochastic models in several different domains related to business, including mathematical finance and processing network theory. His current research is focused on dynamic models of resource sharing, and on the application of stochastic control theory in economics and operations. Professor Harrison has been honored by the Institute for Operations Research and Management Science (INFORMS) with its Expository Writing Award (1998), the Lanchester Prize for best research publication (2001), and the John von Neumann Theory Prize (2004); he was elected to the National Academy of Engineering in 2008. He is a fellow of INFORMS and of the Institute for Mathematical Statistics.

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