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Stochastic Optimization in Continuous Time

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ISBN-10: 0521541948

ISBN-13: 9780521541947

Edition: N/A

Authors: Fwu-Ranq Chang

List price: $58.99
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Description:

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.
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Book details

List price: $58.99
Publisher: Cambridge University Press
Publication date: 10/1/2009
Binding: Paperback
Pages: 348
Size: 6.00" wide x 8.75" long x 0.75" tall
Weight: 1.034

Probability theory
Introduction
Stochastic processes
Conditional expectation
Notes and further readings
Wiener processes
Introduction
A Heuristic approach
Markov processes
Wiener processes
Notes and further readings
Stochastic calculus
Introduction
A Heuristic approach
The Ito integral
Ito's lemma: autonomous case
Ito's lemma for time-dependent functions
Notes and further readings
Stochastic dynamic programming
Introduction
Bellman equation
Economic applications
Extension: recursive utility
Notes and further readings
How to solve it
Introduction
HARA functions
Divine revelation
Symmetry
The substitution method
Matingale representation method
Inverse optimum method
Notes and further readings
Boundaries and absorbing barriers
Introduction
Nonnegativity constraint
Other constraints
Stopping rules - certainty case
The expected discount factor
Optimal stopping times
Notes and further readings