Stochastic Optimization in Continuous Time (Paperback)

Fwu-Ranq Chang

ISBN 10: 0521541948 / ISBN 13: 9780521541947

Published by Cambridge University Press, Cambridge, 2009

About this Item

Paperback. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780521541947

Bibliographic Details

• Title: Stochastic Optimization in Continuous Time (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2009
• Language: English
• ISBN 10: 0521541948
• ISBN 13: 9780521541947
• Binding: Paperback
• Condition: new

About this title

Synopsis

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.

Book Description

This is an introduction to stochastic control theory with applications to economics. Most of the existing books on this subject are written for students in mathematics or in finance. For those who are interested in the relevance and applications of this mathematical machinery to economics, there must be a thorough and concise resource for learning. This book is designed for that purpose. The mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, the mathematical concepts are introduced in language and terminology familiar to graduate students in economics.