Fwu-Ranq Chang "Stochastic Optimization in Continuous Time"
Cambridge University Press | 2004-04-26 | ISBN: 0521834066 | 344 pages | PDF | 1,5 MB

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, mathematical concepts are introduced in language and terminology familiar to graduate students in economics.

Stochastic Optimization in Continuous Time

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