Stochastic optimization in continuous time / Fwu-Ranq Chang.

Format:

Book

Author/Creator:

Chang, Fwu-Ranq, 1947- author.

Language:

English

Subjects (All):

Economics--Mathematical models.

Economics.

Stochastic control theory.

Physical Description:

1 online resource (xvi, 326 pages) : digital, PDF file(s).

Edition:

1st ed.

Place of Publication:

Cambridge : Cambridge University Press, 2004.

Language Note:

English

Summary:

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.

Contents:

Cover; Half-title; Title; Copyright; Dedication; 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 A Miscellaneous Applications and Exercises; Bibliography; Index

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references (p. 309-316) and index.

ISBN:

1-107-14940-1

1-280-47792-X

0-511-19534-6

0-511-19600-8

0-511-19394-7

0-511-31435-3

0-511-61674-0

0-511-19468-4

OCLC:

171138793