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Stochastic optimization in continuous time /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic optimization in continuous time // Fwu-Ranq Chang.
Author:	Chang, Fwu-Ranq,
Description:	1 online resource (xvi, 326 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Economics - Mathematical models. -
Online resource:	https://doi.org/10.1017/CBO9780511616747
ISBN:	9780511616747 (ebook)

Stochastic optimization in continuous time /
Chang, Fwu-Ranq,1947-

Stochastic optimization in continuous time /Fwu-Ranq Chang. - 1 online resource (xvi, 326 pages) :digital, PDF file(s).

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.

ISBN: 9780511616747 (ebook)Subjects--Topical Terms:

560849
Economics
--Mathematical models.

LC Class. No.: HB135 / .C444 2004

Dewey Class. No.: 330/.01/51923

Stochastic optimization in continuous time /
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520 $a 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.
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