Stochastic Optimization in Continuous Time

Name: Stochastic Optimization in Continuous Time
Availability: OutOfStock
ISBN: 9780521541947

ISBN-10: 0521541948

ISBN-13: 9780521541947

Edition: N/A

Authors: Fwu-Ranq Chang

List price: $52.99

30 day, 100% satisfaction guarantee!

Out of stock

Buy from Amazon

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

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.

Book details

List price: $52.99
Publisher: Cambridge University Press
Publication date: 10/1/2009
Binding: Paperback
Pages: 348
Size: 5.98" wide x 8.98" long x 0.83" tall
Weight: 1.122




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