Brownian Models Of Performance And Control

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Brownian Models Of Performance And Control

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Author : J. Michael Harrison
language : en
Publisher: Cambridge University Press
Release Date : 2013-12-02

Brownian Models Of Performance And Control written by J. Michael Harrison and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-02 with Mathematics categories.

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.

Brownian Models Of Performance And Control

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Author : J. Michael Harrison
language : en
Publisher: Cambridge University Press
Release Date : 2013-12-02

Brownian Models Of Performance And Control written by J. Michael Harrison and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-02 with Business & Economics categories.

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.

Stochastic Differential Systems Stochastic Control Theory And Applications

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Author : Wendell Fleming
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Stochastic Differential Systems Stochastic Control Theory And Applications written by Wendell Fleming and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS. We are grateful to the Scientific Committee: Daniel Stroock (Chairman) WendeIl Flerning Theodore Harris Pierre-Louis Lions Steven Orey George Papanicolaou for planning and implementing an exciting and stimulating year-long program. We es pecially thank WendeIl Fleming and Pierre-Louis Lions for organizing an interesting and productive workshop in an area in which mathematics is beginning to make significant contributions to real-world problems. George R. Seil Hans Weinberger PREFACE This volume is the Proceedings of a Workshop on Stochastic Differential Systems, Stochastic Control Theory, and Applications held at IMA June 9-19,1986. The Workshop Program Commit tee consisted of W.H. Fleming and P.-L. Lions (co-chairmen), J. Baras, B. Hajek, J.M. Harrison, and H. Sussmann. The Workshop emphasized topics in the following four areas. (1) Mathematical theory of stochastic differential systems, stochastic control and nonlinear filtering for Markov diffusion processes. Connections with partial differential equations. (2) Applications of stochastic differential system theory, in engineering and management sci ence. Adaptive control of Markov processes. Advanced computational methods in stochas tic control and nonlinear filtering. (3) Stochastic scheduling, queueing networks, and related topics. Flow control, multiarm bandit problems, applications to problems of computer networks and scheduling of complex manufacturing operations.

Scheduling And Control Of Queueing Networks

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Author : Gideon Weiss
language : en
Publisher: Cambridge University Press
Release Date : 2021-10-14

Scheduling And Control Of Queueing Networks written by Gideon Weiss and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-14 with Business & Economics categories.

A graduate text on theory and methods using applied probability techniques for scheduling service, manufacturing, and information networks.

Asset Pricing And Portfolio Choice Theory

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Author : Kerry E. Back
language : en
Publisher: Oxford University Press
Release Date : 2017-01-04

Asset Pricing And Portfolio Choice Theory written by Kerry E. Back and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-04 with Business & Economics categories.

In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Processing Networks

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Author : J. G. Dai
language : en
Publisher: Cambridge University Press
Release Date : 2020-10-15

Processing Networks written by J. G. Dai and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-15 with Business & Economics categories.

The state of the art in fluid-based methods for stability analysis, giving researchers and graduate students command of the tools.

Formal Methods And Stochastic Models For Performance Evaluation

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Author : András Horváth
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-06-12

Formal Methods And Stochastic Models For Performance Evaluation written by András Horváth and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-12 with Computers categories.

This book constitutes the refereed proceedings of the Third European Performance Engineering Workshop, EPEW 2006, held in Budapest, Hungary in June 2006. The 16 revised full papers presented were carefully reviewed and selected from 40 submissions. The papers are organized in topical sections on stochastic process algebra, workloads and benchmarks, theory of stochastic processes, formal dependability and performance evaluation, as well as queues, theory and practice.

Performance And Control Of Network Systems

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Author :
language : en
Publisher:
Release Date : 1999

Performance And Control Of Network Systems written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Asynchronous transfer mode categories.

Analysis Of Communication Networks Call Centres Traffic And Performance

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Author : David R. McDonald
language : en
Publisher: American Mathematical Soc.
Release Date : 2000

Analysis Of Communication Networks Call Centres Traffic And Performance written by David R. McDonald and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Mathematics categories.

This volume consists of the proceedings of the Workshop on Analysis and Simulation of Communication Networks held at The Fields Institute (Toronto). The workshop was divided into two main themes, entitled "Stability and Load Balancing of a Network of Call Centres" and "Traffic and Performance". The call centre industry is large and fast-growing. In order to provide top-notch customer service, it needs good mathematical models. The first part of the volume focuses on probabilistic issues involved in optimizing the performance of a call centre. While this was the motivating application, many of the papers are also applicable to more general distributed queueing networks. The second part of the volume discusses the characterization of traffic streams and how to estimate their impact on the performance of a queueing system. The performance of queues under worst-case traffic flows or flows with long bursts is treated. These studies are motivated by questions about buffer dimensioning and call admission control in ATM or IP networks. This volume will serve researchers as a comprehensive, state-of-the-art reference source on developments in this rapidly expanding field.

Exploring Probability And Random Processes Using Matlab

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Author : Roshan Trivedi
language : en
Publisher: Educohack Press
Release Date : 2025-02-20

Exploring Probability And Random Processes Using Matlab written by Roshan Trivedi and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.

"Exploring Probability and Random Processes Using MATLAB®" offers a comprehensive guide to probability theory, stochastic processes, and their practical applications, focusing on intuitive understanding and MATLAB implementation. This book provides readers with a solid foundation in probability and stochastic processes while equipping them with tools and techniques for real-world scenarios. We begin with an introduction to probability theory, covering random variables, probability distributions, and statistical measures. Readers learn how to analyze and interpret uncertainty, make probabilistic predictions, and understand statistical inference principles. Moving on to stochastic processes, we explore discrete-time and continuous-time processes, Markov chains, and other key concepts. Practical examples and MATLAB code snippets illustrate essential concepts and demonstrate their implementation in MATLAB. One distinguishing feature is the emphasis on intuitive understanding and practical application. Complex mathematical concepts are explained clearly and accessibly, making the material approachable for readers with varying mathematical backgrounds. MATLAB examples provide hands-on experience and develop proficiency in using MATLAB for probability and stochastic processes analysis. Whether you're a student building a foundation in probability theory and stochastic processes, a researcher seeking practical data analysis tools, or a practitioner in engineering or finance, this book will provide the knowledge and skills needed to succeed. With a blend of theoretical insights and practical applications, "Exploring Probability and Random Processes Using MATLAB®" is an invaluable resource.