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Stochastic Optimization in Continuous Time

Stochastic Optimization in Continuous Time by Fwu-Ranq Chang
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First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics. The standard topics of many mathematics, economics and finance books are illustrated with real examples documented in the economic literature. Moreover, the book emphasises the dos and don'ts of stochastic calculus, cautioning the reader that certain results and intuitions cherished by many economists do not extend to stochastic models. A special chapter (Chapter 5) is devoted to exploring various methods of finding a closed-form representation of the value function of a stochastic control problem, which is essential for ascertaining the optimal policy functions. The book also includes many practice exercises for the reader. Notes and suggested readings are provided at the end of each chapter for more references and possible extensions.
Cambridge University Press; April 2004
346 pages; ISBN 9780511192524
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Title: Stochastic Optimization in Continuous Time
Author: Fwu-Ranq Chang
 
ISBNs
0511192525
9780511192524
9780521834063