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Markov Decision Processes in Practice
Boucherie, Richard J. (ed.); van Dijk, Nico M. (ed.) - 2017
This book presents classical Markov Decision Processes (MDP) for real-life applications and optimization. MDP allows users to develop and formally support approximate and simple decision rules, and this book showcases state-of-the-art applications in which MDP was key to the solution approach....
Persistent link: https://www.econbiz.de/10012397809
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Level Crossing Methods in Stochastic Models
Brill, Percy H. - 2017 - 2nd ed. 2017
stochastic application problems, including inventory control, queueing theory, reliability theory, actuarial ruin theory, renewal … theory, pharmacokinetics, and related Markov processes. The second edition includes a new section with a novel derivation of … level-crossing derivation of the finite time-t probability distributions of excess, age, and total life, in renewal theory …
Persistent link: https://www.econbiz.de/10012398207
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets
Persistent link: https://www.econbiz.de/10012053890
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Simulation stochastischer Systeme : Eine anwendungsorientierte Einführung
Waldmann, Karl-Heinz - 2016
Inhaltsverzeichnis -- Einführung -- Erzeugung von Zufallsvariablen -- Ereignisorientierte Simulation -- Output Analyse: Statistische Auswertung der Simulationsergebnisse -- Statische Simulationsmodelle -- Input Analyse: Festlegung der Eingabegrößen -- Varianzreduzierende Verfahren --...
Persistent link: https://www.econbiz.de/10014019624
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Hidden Markov Models in Finance : Further Developments and Applications, Volume II
Mamon, Rogemar S. - 2014
science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance …
Persistent link: https://www.econbiz.de/10014020477
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...
Persistent link: https://www.econbiz.de/10014018810
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Networks, Topology and Dynamics : Theory and Applications to Economics and Social Systems
Beckmann, M.; Künzi, H. P.; Naimzada, Ahmad; Stefani, … - 2009
Persistent link: https://www.econbiz.de/10013521061
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The Economics of Persistent Innovation: An Evolutionary View
Antonelli, Cristiano; Soete, Luc; Bas, Christian; … - 2006
Persistent link: https://www.econbiz.de/10013521178
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Markovian Demand Inventory Models
Beyer, Dirk - 2010
scientific literature on inventory theory, and this volume reviews all the important conceptual developments of the subject … inventory theory." Paul Zipkin Duke University …
Persistent link: https://www.econbiz.de/10013521265
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Hamiltonian Cycle Problem and Markov Chains
Borkar, Vivek S. - 2012
Illustrative Graphs -- Intriguing Properties -- Markov Chains -- Markov Decision Processes -- Determinants -- Traces -- Linear Programming Based Algorithms -- Interior Point and Cross-Entropy Algorithms -- Self-similar Structure and Hamiltonicity -- Graph Enumeration
Persistent link: https://www.econbiz.de/10014015869