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  3. Stochastic Optimization in Continuous Time
  • Cited by 103
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    • Publisher:
      Cambridge University Press
      Publication date:
      January 2010
      April 2004
      ISBN:
      9780511616747
      9780521834063
      9780521541947
      DOI:
      https://doi.org/10.1017/CBO9780511616747
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.68kg, 346 Pages
      Dimensions:
      (229 x 152 mm)
      Weight & Pages:
      0.531kg, 348 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods, Optimization, OR and risk, Statistics and Probability
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    Subjects:
    Economics, Econometrics and Mathematical Methods, Optimization, OR and risk, Statistics and Probability
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    Book description

    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.

    Reviews

    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.'

    Source: Zentralblatt MATH

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