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Brownian Models of Performance and Control (Hardcover, New) Loot Price: R1,405
Discovery Miles 14 050
Brownian Models of Performance and Control (Hardcover, New): J.Michael Harrison

Brownian Models of Performance and Control (Hardcover, New)

J.Michael Harrison

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Loot Price R1,405 Discovery Miles 14 050 | Repayment Terms: R132 pm x 12*

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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, 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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Release date: December 2013
First published: December 2013
Authors: J.Michael Harrison
Dimensions: 235 x 158 x 20mm (L x W x T)
Format: Hardcover
Pages: 205
Edition: New
ISBN-13: 978-1-107-01839-6
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 1-107-01839-0
Barcode: 9781107018396

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