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

By: Material type: TextTextPublication 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

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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