Items related to Stochastic Optimization in Continuous Time
Synopsis
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.
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Review
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 economic models.' Zentralblatt MATH
Book Description
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.
"About this title" may belong to another edition of this title.
- PublisherCambridge University Press
- Publication date2004
- ISBN 10 0521834066
- ISBN 13 9780521834063
- BindingHardcover
- LanguageEnglish
- Number of pages346
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Stochastic Optimization in Continuous Time
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Cambridge University Press, 2004
ISBN 10: 0521834066
ISBN 13: 9780521834063
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Stochastic Optimization in Continuous Time
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ISBN 10: 0521834066
ISBN 13: 9780521834063
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Stochastic Optimization in Continuous Time
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Stochastic Optimization in Continuous Time
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ISBN 10: 0521834066
ISBN 13: 9780521834063
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Stochastic Optimization in Continuous Time
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Stochastic Optimization in Continuous Time
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Stochastic Optimization in Continuous Time
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ISBN 10: 0521834066
ISBN 13: 9780521834063
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Stochastic Optimization in Continuous Time
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ISBN 13: 9780521834063
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