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: | |
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| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2004
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| Links: | 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. |
| Umfang: | 1 Online-Ressource (xvi, 326 Seiten) |
| ISBN: | 9780511616747 |
Internformat
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| spelling | Chang, Fwu-Ranq 1947- Stochastic optimization in continuous time Fwu-Ranq Chang Cambridge Cambridge University Press 2004 1 Online-Ressource (xvi, 326 Seiten) txt c cr 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. Erscheint auch als Druck-Ausgabe 9780521541947 Erscheint auch als Druck-Ausgabe 9780521834063 |
| spellingShingle | Chang, Fwu-Ranq 1947- Stochastic optimization in continuous time |
| 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 |
| work_keys_str_mv | AT changfwuranq stochasticoptimizationincontinuoustime |