Stochastic Optimization in Continuous Time

Stochastic Optimization in Continuous Time

by Fwu-Ranq Chang
     
 

This is an introduction to stochastic control theory with applications to economics, first published in 2004.See more details below

Overview

This is an introduction to stochastic control theory with applications to economics, first published in 2004.

Product Details

ISBN-13:
9780521834063
Publisher:
Cambridge University Press
Publication date:
03/31/2004
Edition description:
New Edition
Pages:
346
Product dimensions:
5.98(w) x 9.02(h) x 0.94(d)

Table of Contents

List of figures; Preface; 1. Probability theory; 2. Wiener processes; 3. Stochastic calculus; 4. Stochastic dynamic programming; 5. How to solve it; 6. Boundaries and absorbing barriers; Appendix. Miscellaneous applications and exercises; Bibliography; Index.

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