Stochastic Optimization in Continuous Time

Fwu-Ranq Chang

326 pages, parution le 28/06/2004

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Résumé

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 emphasizes 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.

Sommaire

Probability Theory
Wiener Processes
Stochastic Calculus
Stochastic Dynamic Programming
How to Solve it
Boundaries and Absorbing Barriers
A Miscellaneous Applications and Exercises

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Fwu-Ranq Chang
Parution	28/06/2004
Nb. de pages	326
Format	15,5 x 23,5
Couverture	Relié
Poids	580g
Intérieur	Noir et Blanc
EAN13	9780521834063
ISBN13	978-0-521-83406-3