Brownian Models of Performance and Control

DOI10.1017/CBO9781139087698zbMath1308.60003OpenAlexW561749035MaRDI QIDQ5408663

J. Michael Harrison

Publication date: 11 April 2014

Full work available at URL: https://doi.org/10.1017/cbo9781139087698

zbMATH Keywords

optimal stoppingBrownian motionstochastic calculusoptimal stochastic controlstochastic storage models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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