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Stochastic optimization in continuous time

Author: Fwu-Ranq Chang
Publisher: Cambridge, UK ; New York : Cambridge University Press, 2004.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Chang, Fwu-Ranq, 1947-
Stochastic optimization in continuous time.
Cambridge, UK ; New York : Cambridge University Press, 2004
(DLC) 2003061745
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Fwu-Ranq Chang
ISBN: 0511193947 9780511193941 0521834066 9780521834063 0511196008 9780511196003 0511194684 9780511194689 0511195346 9780511195341 9780511616747 0511616740
OCLC Number: 144618374
Description: 1 online resource (xvi, 326 pages) : illustrations
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.
Responsibility: Fwu-Ranq Chang.

Abstract:

This is an introduction to stochastic control theory with applications to economics, first published in 2004.  Read more...

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Review of the hardback: '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 Read more...

 
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