Stochastic optimization in continuous time

Fwu-Ranq Chang

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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Year of publication:	2004
Authors:	Chang, Fwu-ranq
Publisher:	Cambridge, UK : Cambridge University Press
Subject:	Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming \| Kontrolltheorie \| Control theory
Description of contents:	Table of Contents [gbv.de] ; Description [zbmath.org]

Extent:	Online-Ressource (xvi, 326 p) ill
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (p. 309-316) and index 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 Electronic reproduction; Available via World Wide Web
ISBN:	0-511-19394-7 ; 0-521-83406-6 ; 978-0-521-83406-3
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012673406