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Stochastic Optimization in Continuous Time Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)

Stochastic Optimization in Continuous Time By Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)

Stochastic Optimization in Continuous Time by Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)


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Summary

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.

Stochastic Optimization in Continuous Time Summary

Stochastic Optimization in Continuous Time by Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)

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.

Stochastic Optimization in Continuous Time 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.' Zentralblatt MATH

About Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)

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 Center for Economic Studies (CES) of the University of Munich, Germany, and the Economic Research Center (ERC) of Nagoya Univeristy, Japan. He is also a recipient of the 1986 Outstanding Junior Faculty Awards of Indiana University, a recipient of the 2004 IU Trustees Teaching Awards, and a research fellow of the CESifo Research Network. Professor Chang has published papers in prestigious journals in economics and mathematics, including Econometrica, the Review of Economic Studies, the Journal of Economic Theory, the Proceedings of American Mathematical Society, and the Journal of Optimization Theory and Applications. In 2004 he published Stochastic Optimization in Continuous Time with Cambridge University Press.

Table of 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. Miscellaneous applications and exercises; Bibliography; Index.

Additional information

NPB9780521834063
9780521834063
0521834066
Stochastic Optimization in Continuous Time by Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomington)
New
Hardback
Cambridge University Press
2004-04-26
346
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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