Stochastic optimization in continuous time /

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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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chang, Fwu-Ranq, 1947-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2004.
Temas:
Economics > Mathematical models.
Stochastic control theory.
Économie politique > Modèles mathématiques.
Commande stochastique.
BUSINESS & ECONOMICS > Economics > Theory.
Economics > Mathematical models
Stochastic control theory
Stochastische programmering.
Stochastische analyse.
Maattheorie.
Wiskundige economie.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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