Markov Models & Optimization

ISBN-13: 9780412314100 / Angielski / Twarda / 1993 / 316 str.

M. H. A. Davis; Davis Davis

Opis

This text presents a new approach to problems of evaluating and optimizing the performance of continuous-time stochastic systems. This approach is based on the use of a family of Markov processes called piecewise-deterministic processes (PDPs) as a general class of stochastic system models. A PDP is a Markov process that follows deterministic trajectories between random jumps, the latter occurring either spontaneously, in a Poisson-like fashion, or when the process hits the boundary of its state space.

Recenzje

"The book gives an excellent compact treatment of Markov models and their control. It is highly recommended to anybody who is interested in the control of systems subject to random occurrences at discrete times."
-Short Book Reviews

"It...should be welcomed by students and researchers. The book will also appeal to practising actuaries with a desire to get in touch with what modern methods can do."
-Scandinavian Acturial

"The book is very well written and is a substantial contribution to stochastic processes theory. Furthermore, the author not only provides conditions for existence and uniqueness of solutions to the problems in the book, but also works toward finding unifying approach to most nondiffusion probabilistic problems."
-Journal of the American Statistical Association

"This excellent book is a comprehensive introduction to the theory of piecewise-detrministic processes (PDPs) and their applications...Hopefully this book will inspire research in applications of PDPs in new directions."
-SIAM Reviews

O autorze

Davis, M.H.A.