Stochastic optimization in continuous time:
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 topic...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2004
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| Schlagwörter: | |
| Links: | https://doi.org/10.1017/CBO9780511616747 https://doi.org/10.1017/CBO9780511616747 https://doi.org/10.1017/CBO9780511616747 https://doi.org/10.1017/CBO9780511616747 |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Umfang: | 1 online resource (xvi, 326 pages) |
| ISBN: | 9780511616747 |
| DOI: | 10.1017/CBO9780511616747 |
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Datensatz im Suchindex
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| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:48:44Z |
| institution | BVB |
| isbn | 9780511616747 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029332986 |
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| physical | 1 online resource (xvi, 326 pages) |
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| publishDate | 2004 |
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| publisher | Cambridge University Press |
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| spelling | Chang, Fwu-Ranq 1947- Verfasser aut Stochastic optimization in continuous time Fwu-Ranq Chang Cambridge Cambridge University Press 2004 1 online resource (xvi, 326 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Mathematisches Modell Wirtschaft Economics / Mathematical models Stochastic control theory Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 Stochastische Optimierung (DE-588)4057625-5 s 2\p DE-604 Erscheint auch als Druckausgabe 978-0-521-54194-7 Erscheint auch als Druckausgabe 978-0-521-83406-3 https://doi.org/10.1017/CBO9780511616747 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Chang, Fwu-Ranq 1947- Stochastic optimization in continuous time Mathematisches Modell Wirtschaft Economics / Mathematical models Stochastic control theory Wirtschaftsmathematik (DE-588)4066472-7 gnd Stochastische Optimierung (DE-588)4057625-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4066472-7 (DE-588)4057625-5 (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 | Mathematisches Modell Wirtschaft Economics / Mathematical models Stochastic control theory Wirtschaftsmathematik (DE-588)4066472-7 gnd Stochastische Optimierung (DE-588)4057625-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Wirtschaft Economics / Mathematical models Stochastic control theory Wirtschaftsmathematik Stochastische Optimierung |
| url | https://doi.org/10.1017/CBO9780511616747 |
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