000			02190nam a22003378i 4500
001			CR9780511616747
003			UkCbUP
005			20200124160255.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			090915s2004||||enk o ||1 0|eng|d
020			_a9780511616747 (ebook)
020			_z9780521834063 (hardback)
020			_z9780521541947 (paperback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHB135 _b.C444 2004
082	0	0	_a330/.01/51923 _222
100	1		_aChang, Fwu-Ranq, _d1947- _eauthor.
245	1	0	_aStochastic optimization in continuous time / _cFwu-Ranq Chang.
264		1	_aCambridge : _bCambridge University Press, _c2004.
300			_a1 online resource (xvi, 326 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
500			_aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
520			_aFirst 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.
650		0	_aEconomics _xMathematical models.
650		0	_aStochastic control theory.
776	0	8	_iPrint version: _z9780521834063
856	4	0	_uhttps://doi.org/10.1017/CBO9780511616747
999			_c519889 _d519887