Stochastic Optimization in Continuous Time
Stochastic Optimization in Continuous Time
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.
- Rigorous but user-friendly book filling gaps in mathematical economics and finance literatures
- Thorough and concise resource for learning stochastic control theory with applications to economics and finance
- Discussion and comparison of the various methods of finding a closed-form representation of the value function of a stochastic control problem
Reviews & endorsements
"Chang discusses various solution techniques, including the inverse optimum methodology." - University of Chicago Magazine
"The manner of fixing the dialectical relation between information set (a common term to the economists) and $\sigma $ algebra (a theoretical mathematical concept) is remarkable.... The book is well written and should prove useful in graduate courses for economists and also in courses for other professionals who are willing to go into the mathematics of economic models." - Zentralblatt MATH
Product details
April 2004Hardback
9780521834063
346 pages
229 × 152 × 24 mm
0.68kg
Available
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.
