Brownian models of performance and control / J. Michael Harrison.

By:

Harrison, J. Michael

Material type: Text

TextPublication details: New York : CUP, 2013.Description: xviii, 190 p. ; 24 cmISBN:

9781107018396

Subject(s):

DDC classification:

23 H319 519.23

Contents:

1. Brownian motion -- 2. Stochastic storage models -- 3. Further analysis of Brownian motion -- 4. Stochastic calculus -- 5. Optimal stopping of 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-- Reference-- Index.

Summary: Michael Harrison returns to an important topic in stochastic process theory, and illustrates its many influential applications in business and economics

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Books	ISI Library, Kolkata	519.23 H319 (Browse shelf(Opens below))	Available		C26304

Total holds: 0

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Previous	519.23 H154 Random processes for engineers /	519.23 H251 Applied stochastic processes and control for jump-diffusions	519.23 H283 Data-Driven computational methods: parameter and operator estimations/	519.23 H319 Brownian models of performance and control /	519.23 H582 Stochastic calculus with infinitesimals	519.23 H632 Stationary stochastic processes	519.23 H693 Extrema of the expected value of a function of independent random variables	Next

Includes bibliographical references (pages 183-185) and index.

1. Brownian motion --
2. Stochastic storage models --
3. Further analysis of Brownian motion --
4. Stochastic calculus --
5. Optimal stopping of 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--
Reference--
Index.

Michael Harrison returns to an important topic in stochastic process theory, and illustrates its many influential applications in business and economics

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