Brownian Models of Performance and Control
Book Details
Format
Hardback or Cased Book
ISBN-10
1107018390
ISBN-13
9781107018396
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Dec 2nd, 2013
Print length
205 Pages
Weight
450 grams
Dimensions
23.70 x 16.00 x 2.10 cms
Product Classification:
Probability & statisticsProbability and statisticsStochastics
Ksh 8,650.00
Manufactured on Demand
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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. Aimed at non-mathematicians who build and analyze stochastic models, it contains many concrete formulas and worked examples.
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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