Stochastic optimization in continuous time
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.
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press
2004.
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| Colección: | CUP ebooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b39720160*spi |
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.
