Stochastic optimization in continuous time:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge Univ. Press
2004
|
| Ausgabe: | 1. publ. |
| Schlagwörter: | |
| Links: | http://www.loc.gov/catdir/samples/cam041/2003061745.html http://www.loc.gov/catdir/description/cam041/2003061745.html http://www.loc.gov/catdir/toc/cam041/2003061745.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012947356&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XVI, 326 S. graph. Darst. 24 cm |
| ISBN: | 0521834066 |
Internformat
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| 100 | 1 | |a Chang, Fwu-Ranq |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic optimization in continuous time |c Fwu-Ranq Chang |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge |b Cambridge Univ. Press |c 2004 | |
| 300 | |a XVI, 326 S. |b graph. Darst. |c 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Commande stochastique | |
| 650 | 7 | |a Maattheorie |2 gtt | |
| 650 | 7 | |a Stochastische analyse |2 gtt | |
| 650 | 7 | |a Stochastische programmering |2 gtt | |
| 650 | 7 | |a Wiskundige economie |2 gtt | |
| 650 | 4 | |a Économie politique - Modèles mathématiques | |
| 650 | 4 | |a aEconomics |a xMathematical models | |
| 650 | 4 | |a aStochastic control theory | |
| 650 | 0 | 7 | |a Stochastische Optimierung |0 (DE-588)4057625-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wirtschaftsmathematik |0 (DE-588)4066472-7 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0102 MAT 914 2001 A 710 |
|---|---|
| DE-BY-TUM_katkey | 1485278 |
| DE-BY-TUM_location | 01 |
| DE-BY-TUM_media_number | 040020072711 |
| _version_ | 1821933116368879616 |
| adam_text | Contents
List of Figures
Preface
l Probability Theory
1 1 Introduction
1 2 Stochastic Processes
121 Information Sets and a-Algebras
122 The Cantor Set
123 BoreI—Cantelli Lemmas
124 Distribution Functions and Stochastic Processes
1 3 Conditional Expectation
131 Conditional Probability
132 Conditional Expectation
133 Change of Variables
1 4 Notes and Further Readings
2 Wiener Processes
2 1 Introduction
22A Heuristic Approach
221 From Random Walks to Wiener Process
222 Some Basic Properties of the Wiener Process
2 3 Markov Processes
231 Introduction
232 Transition Probability
233 Diffusion Processes
2 4 Wiener Processes
241 How to Generate More Wiener ProceSSes
242 Difi erentiability of Sample Functions
243 Stopping Times
244 The Zero Set
vii
page xi
xiii
mA__—-»—
viii Contents
245 Bounded Variations and the Irregularity of the
Wiener Process
2 5 Notes and Further Readings
3 Stochastic Calculus
3 1 Introduction
32A Heuristic Approach
321 Is a (s, XQdWS Riemann Integrable?
322 The Choice of 1,- Matters
323 In Search of the Class of Functions for a (s, w)
3 3 The Ito Integral
331 Definition
332 Martingales
3 4 Ito’s Lemma: Autonomous Case
341 Ito’s Lemma
342 Geometric Brownian Motion
343 Population Dynamics
344 Additive Shocks or Multiplicative Shocks
345 Multiple Sources of Uncertainty
346 Multivariate Ito’s Lemma
3 5 Ito ’s Lemma for Time-Dependent Functions
351 Euler’s Homogeneous Differential Equation and
the Heat Equation
352 Black—Scholes Formula
353 Irreversible Investment
354 Budget Equation for an Investor
355 Ito’s Lemma: General Form
3 6 Notes and Further Readings
4 Stochastic Dynamic Programming
4 1 Introduction
4 2 Bellman Equation
421 Infinite-Horizon Problems
422 Verification Theorem
423 Finite-Horizon Problems
424 Existence and Differentiability of the Value Function
4 3 Economic Applications
431 Consumption and Portfolio Rules
432 Index Bonds
433 Exhaustible Resources
434 Adjustment Costs and (ReverSible) Investment
435 Uncertain Lifetimes and Life Insurance
4 4 thensron: Recursive Utility
Contents
441 Bellman Equation with Recursive Utility
442 Effects of Recursivity: Deterministic Case
4 5 Notes and Further Readings
How to Solve it
5 1 Introduction
5 2 HARA Functions
521 The Meaning of Each Parameter
522 Closed-Form Representations
5 3 Trial and Error
531 Linear—Quadratic Models
532 Linear—HARA models
533 Linear—Concave Models
534 Nonlinear-Concave Models
5 4 Symmetry
541 Linear—Quadratic Model Revisited
542 Merton’s Model Revisited
543 Fischer’s Index Bond Model
544 Life Insurance
5 5 The Substitution Method
5 6 Martingale Representation Method
561 Girsanov Transformation
562 Example: A Portfolio Problem
563 Which 9 to Choose?
564A Transformed Problem
5 7 Inverse Optimum Method
571 The Inverse Optimal Problem: Certainty Case
572 The Inverse Optimal Problem: Stochastic Case
573 Inverse Optimal Problem of Merton’s Model
5 8 Notes and Further Readings
Boundaries and Absorbing Barriers
6 1 Introduction
6 2 Nonnegativity Constraint
621 Issues and Problems
622 Comparison Theorems
623 Chang and Malliaris’s Reflection Method
624 Inaccessible Boundaries
6 3 Other Constraints
631A Portfolio Problem with Borrowing Constraints
632 Viscosity Solutions
6 4 Stopping Rules — Certainty Case
641 The Baumol—Tobin Model
x Contents
642A Dynamic Model of Money Demand
643 The Tree-Cutting Problem
6 5 The Expected Discount Factor
651 Fundamental Equation for E [e‘”]
652 One Absorbing Barrier
653 Two Absorbing Barriers
6 6 Optimal Stopping Times
661 Dynamic and Stochastic Demand for Money
662 Stochastic Tree-Cutting and Rotation Problems
663 Investment Timing
6 7 Notes and Further Readings
A Miscellaneous Applications and Exercises
Bibliography
Index
|
| any_adam_object | 1 |
| author | Chang, Fwu-Ranq |
| author_facet | Chang, Fwu-Ranq |
| author_role | aut |
| author_sort | Chang, Fwu-Ranq |
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| dewey-search | 330/.01/51923 |
| dewey-sort | 3330 11 551923 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV019617887 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T12:01:55Z |
| institution | BVB |
| isbn | 0521834066 |
| language | English |
| lccn | 2003061745 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012947356 |
| oclc_num | 52879359 |
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| owner_facet | DE-91G DE-BY-TUM DE-20 DE-29T DE-945 DE-11 |
| physical | XVI, 326 S. graph. Darst. 24 cm |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spellingShingle | Chang, Fwu-Ranq Stochastic optimization in continuous time Commande stochastique Maattheorie gtt Stochastische analyse gtt Stochastische programmering gtt Wiskundige economie gtt Économie politique - Modèles mathématiques aEconomics xMathematical models aStochastic control theory Stochastische Optimierung (DE-588)4057625-5 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4057625-5 (DE-588)4066472-7 (DE-588)4114528-8 |
| title | Stochastic optimization in continuous time |
| title_auth | Stochastic optimization in continuous time |
| title_exact_search | Stochastic optimization in continuous time |
| title_full | Stochastic optimization in continuous time Fwu-Ranq Chang |
| title_fullStr | Stochastic optimization in continuous time Fwu-Ranq Chang |
| title_full_unstemmed | Stochastic optimization in continuous time Fwu-Ranq Chang |
| title_short | Stochastic optimization in continuous time |
| title_sort | stochastic optimization in continuous time |
| topic | Commande stochastique Maattheorie gtt Stochastische analyse gtt Stochastische programmering gtt Wiskundige economie gtt Économie politique - Modèles mathématiques aEconomics xMathematical models aStochastic control theory Stochastische Optimierung (DE-588)4057625-5 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Commande stochastique Maattheorie Stochastische analyse Stochastische programmering Wiskundige economie Économie politique - Modèles mathématiques aEconomics xMathematical models aStochastic control theory Stochastische Optimierung Wirtschaftsmathematik Mathematisches Modell |
| url | http://www.loc.gov/catdir/samples/cam041/2003061745.html http://www.loc.gov/catdir/description/cam041/2003061745.html http://www.loc.gov/catdir/toc/cam041/2003061745.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012947356&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT changfwuranq stochasticoptimizationincontinuoustime |
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Teilbibliothek Mathematik & Informatik
| Signatur: |
0102 MAT 914 2001 A 710
Lageplan |
|---|---|
| Exemplar 1 | Ausleihbar Am Standort |