Brownian Models of Performance and Control

J. Michael Harrison (Stanford University, California)

$79.95

Hardback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Cambridge University Press
02 December 2013

Economics; Finance; Investment & securities; Business & management; Probability & statistics

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.

By: J. Michael Harrison (Stanford University California)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 235mm, Width: 158mm, Spine: 20mm
Weight: 450g
ISBN: 9781107018396
ISBN 10: 1107018390
Pages: 205
Publication Date: 02 December 2013
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

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.

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.