Stochastic Optimization in Continuous Time

Chang, Fwu-Ranq

ISBN 10: 0521834066 / ISBN 13: 9780521834063

Published by Cambridge University Press, Cambridge, England, 2004

About this Item

***INTERNATIONAL EDITION*** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments contain tracking numbers. Great professional textbook selling experience and expedite shipping service. Sewn binding. Cloth over boards. 346 p. Audience: General/trade. Seller Inventory # K314A0000410

Bibliographic Details

Title: Stochastic Optimization in Continuous Time

Publisher: Cambridge University Press, Cambridge, England

Publication Date: 2004

Binding: Trade paperback

Condition: New in new dust jacket.

Edition: First edition.

About this title

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.

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