J Michael Harrison
Michael Harrison has developed and analyzed stochastic models in several different domains related to business, including mathematical finance and processing network theory. His current research is focused on dynamic models of resource sharing, and on the application of stochastic control theory in economics and operations.
Michael Harrison received a BS degree in industrial engineering from Lehigh University in 1966, an MS in industrial engineering from Stanford in 1967, and a PhD in operations research, also from Stanford, in 1970. That same year he joined the faculty of the Graduate School of Business as an Assistant Professor. He was promoted to Associate Professor in 1973 and to Professor in 1978.
Professor Harrison’s research focuses on stochastic models of business systems and business processes. In a four-year period around 1980 he coauthored two influential papers in mathematical finance, developing the mathematical foundations of option theory. In particular, he and his Stanford Graduate School of Business colleague David Kreps introduced the notion of equivalent martingale measures, which have since become a standard tool in theoretical analysis.
Professor Harrison's later work has focused on the field of operations management, with emphasis on the time dimension of system performance. He has developed a family of stochastic system models called Brownian networks, which approximate the behavior of processing systems that arise in many different contexts, both for purposes of descriptive performance analysis and for purposes of optimal flow management. He has also coauthored papers on optimization of telephone call center operations, and on dynamic pricing with unknown demand.
Professor Harrison is the author of one book and more than 75 articles in scholarly journals.
PhD, Operations Research, Stanford, 1970; MSIE, Stanford, 1967; BSIE, Lehigh, 1966.
At Stanford since 1970. Visiting Professor, Northwestern, 1982–83; Visiting Scholar, Bell Labs, 1977 and 1983; Decision Analyst, SRI, 1972–73.
- A Method for Staffing Large Call Centers: Mfg. & Service Operations Mgt., 2005
- A Broader View of Brownian Networks: Annals of Applied Probability, 2003
- Brownian Motion and Stochastic Flow Systems: Wiley and Sons, 1985
- Martingales and Stochastic Integrals in the Theory of Trading: Stochastic Processes, 1981
- Martingales and Arbitrage in Multiperiod Securities Markets: Journal of Economic Theory, 1979
- 213: The Approximate Ruin Function for A Risk Process with Compounding Assets
- 234: Stock Price Consistency in a Market with Heterogeneous Investors
- 310: Independence and Calibration in Decision Analysis
- 444: Martingales and the Valuation of Redundant Assets
- 645: Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans
Awards and Honors
- National Academy of Engineering, 2007
- John von Neumann Theory Prize, 2004, INFORMS
- Lanchester Prize (best research publication), 2001, INFORMS
- Expository Writing Award, 1998, INFORMS
- OIT 672: Stochastic Control in Operations and Economics
- Fellow: INFORMS
- Fellow: Institute for Mathematical Statistics.
In The Media
- Harrison Elected to National Academy of Engineering
- Michael Harrison Awarded INFORMS Lanchester Prize
- Harrison Receives 1998 Expository Writing Award
- Summer Workshop Provides Success Strategies for Future Professors, Stanford Report