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Stochastic Optimization in Continuous Time
Fwu-Ranq Chang
€ 68.52
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Description for Stochastic Optimization in Continuous Time
Hardback. This is an introduction to stochastic control theory with applications to economics, first published in 2004. Num Pages: 346 pages, 8 line figures. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 228 x 152 x 24. Weight in Grams: 68.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2004
Publisher
Cambridge University Press United Kingdom
Number of pages
346
Condition
New
Number of Pages
346
Place of Publication
Cambridge, United Kingdom
ISBN
9780521834063
SKU
V9780521834063
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-1
About Fwu-Ranq Chang
Professor Chang received his BS from National Taiwan University, holds a PhD in Economics from the University of Chicago and a PhD in Mathematics from State University of New York at Stony Brook. His graduate-level courses include price theory sequence and mathematical economics (stochastic control theory and applications, economics of uncertainty). He has been an invited visiting scholar to the ... Read more
Reviews for Stochastic Optimization in Continuous Time
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.' Zentralblatt MATH