Stochastic Optimization in Continuous Time

Stochastic Optimization in Continuous Time

by Fwu-Ranq Chang
     
 

ISBN-10: 0521834066

ISBN-13: 9780521834063

Pub. Date: 03/31/2004

Publisher: Cambridge University Press

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More

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Overview

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, mathematical concepts are introduced in language and terminology familiar to graduate students in economics.

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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