Here is a systematic discussion of Brownian motion and Ito stochastic calculus. Develops the mathematical methods needed to analyze stochastic processes related to Brownian motion and shows how these methods are used to model and analyze various stochastic flow systems such as queueing and inventory systems. Emphasizes stochastic calculus and models used in engineering, economics, and operations research. Topics include stochastic models of buffered flow, the backward and forward equations, hitting time problems, regulated ...
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Here is a systematic discussion of Brownian motion and Ito stochastic calculus. Develops the mathematical methods needed to analyze stochastic processes related to Brownian motion and shows how these methods are used to model and analyze various stochastic flow systems such as queueing and inventory systems. Emphasizes stochastic calculus and models used in engineering, economics, and operations research. Topics include stochastic models of buffered flow, the backward and forward equations, hitting time problems, regulated Brownian motion, optimal control of Brownian motion, and optimizing flow system performance.
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